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PENGUKURAN RISIKO PORTFOLIO DENGAN MENGGUNAKAN METODE VALUE AT RISK (VAR)

Authors :
Laela Susdiani
Fajri Adrianto
Source :
Jurnal Kajian Akuntansi dan Auditing.
Publication Year :
2013
Publisher :
Universitas Bung Hatta, 2013.

Abstract

Value at Risk (VAR) is a risk measurement method that use in risk investment calculation. VAR shows risk in nominal. This research calculate risk portfolio of stock using VAR method and measure whether VAR value overvalued or underestimated. Using historical simulation method is found VAR value tend to decrease when stock investment consist more stocks in the portfolio. Risk investment calculation consistent with standar devistion as risk measurement, which the more investment diversified the less the risk in the investment. Then, using backtesting reveal that VAR tend too high in portfolio consisting small number of stocks. VAR value can accepted in the portfolio that consist many stocks or the more investment diversified the more accurate VAR value as risk measurement.

Details

ISSN :
27218457 and 19072473
Database :
OpenAIRE
Journal :
Jurnal Kajian Akuntansi dan Auditing
Accession number :
edsair.doi...........0e87ee1155d2893337692c1c7a396033
Full Text :
https://doi.org/10.37301/jkaa.v0i0.6496