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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 Number | Location | Available |
|---|---|---|
| 6987 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia 2010 |
|---|---|
| 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 |