Market capitalization significance in value-at-risk estimation : evidende from Indonesia

Deskripsi

This research contributes to the study of economic variable significance in the estimation of value at risk (VaR) in Indonesia. This research is one of the earlist study to incorporate economic variable in the risk management estimation, this is done in the spirit of putting some degree of reality on the model. We test the performance of different VaR models for portfolios with different market capitalization. Based on this finding, we also found that incorporation of market capitalization would improve the VaR estimation performance. This research provides a positive contribution in the area of risk management in Indonesia..