Image of Risk quantification melalui pengukuran value-at risk dengan metode historical simulation pada saham indeks LQ-45

Text

Risk quantification melalui pengukuran value-at risk dengan metode historical simulation pada saham indeks LQ-45

Investors are facing trade-off when deciding to invest at a security of portfolio. That trade-off is return that investor expect and possible loss from the investment (risk). Risks make investor need to understand how to measure the risks, especially market risk, by Value-at-Risk. Value-at-Risk is an estimation of maximum losses from an investment based on a specified confidence level and period. This study uses Historical Simulation method modified with ARMA (Autoregressive Moving Average) forecasting methodology to analyze market risk. This method then compared with Historical Simulation standard approach. The result of this study shows that Historical Simulation method modified with ARMA forecasting methodology is better and provides more flexible VaR quantification than the standard one. Ada tabel

Ketersediaan

Call NumberLocationAvailable
6987PSB lt.2 - Karya Akhir1
Penerbit Depok Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Share valuation
Financial management
Risk analysis
Market risk
Value
at risk
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xiii, 174 p. : diagr. ; 30 cm
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
Lampiran Berkas Tidak Ada Data