Image of Penerapan dan pengujian validasi model value-at-risk dalam mengukur risiko pasar dari saham bank-bank komersial yang terdaftar di bursa efek Indonesia periode 2005-2009

Text

Penerapan dan pengujian validasi model value-at-risk dalam mengukur risiko pasar dari saham bank-bank komersial yang terdaftar di bursa efek Indonesia periode 2005-2009

This paper focus to examine the market risk of commercial banks stock listed in Indonesia Stock Exchange with data range from 2005 ? 2009 and 20 sample banks. The measurement of market risk is done using Value-at-Risk (VaR) method that has been applied widely in estimating the exposure to market risk. Then, for the next analysis, sample is divided into two groups: large banks group and non-large banks group, based on total assets. Using mean difference test, I found that mean of VaR value in large banks group is significantly not different with the mean of VaR value in non-large banks group. There is also model validation of VaR through backtesting test to reveal the accuracy of the formed model. The result of this paper showed that VaR model is proven to be valid in calculating market risk for 13 commercial banks.Ada tabel

Ketersediaan

Call NumberLocationAvailable
7026PSB lt.2 - Karya Akhir1
Penerbit Depok Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Share valuation
Commercial banks
Value at risk
VaR
Market risk
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xiv, 148 p. : Diagr. ; 30 cm & lamp
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
Lampiran Berkas Tidak Ada Data