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All Journal NOTARIUS The Indonesian Journal of Business Administration Journal of Aquaculture Management and Technology Metamorfosis The Indonesian Journal of Planning and Development JURNAL PENDIDIKAN DASAR PERKHASA EKONOMIS : Journal of Economics and Business JTAM (Jurnal Teori dan Aplikasi Matematika) Jurnal Golden Age Jurnal Aplikasi Akuntansi Jurnal Administrasi dan Manajemen Jurnal Penelitian Pembelajaran Matematika Sekolah Journal of Enterprise and Development (JED) Elsya : Journal of English Language Studies Jurnal Sains dan Teknologi Jurnal Ilmiah Profesi Pendidikan Jurnal Pendidikan Kewarganegaraan Variabel Jurnal Pengabdian Masyarakat Khatulistiwa Keluwih: Jurnal Kesehatan dan Kedokteran Journal of Economics and Business UBS LOGIA : Jurnal Teologi Pentakosta Jurnal Manajemen Bisnis dan Keuangan Jurnal Abdi Masyarakat Indonesia Jurnal Abdimas Kartika Wijayakusuma Absorbent Mind DUNIA ANAK: Jurnal Pendidikan Anak Usia Dini Jurnal Pelayanan dan Pemberdayaan Masyarakat Journal Neosantara Hybrid Learning The International Journal of Medical Science and Health Research Retorika: Jurnal Komunikasi, Sosial dan Ilmu Politik J-CEKI
Fransiska Fransiska
Program Studi Budidaya Perairan, Jurusan Perikanan, Fakultas Perikanan dan Ilmu Kelautan, Universitas Diponegoro
Religion Agriculture, Biological Sciences & Forestry Arts Humanities Biochemistry, Genetics & Molecular Biology Chemistry Computer Science & IT Decision Sciences, Operations Research & Management Dentistry Earth & Planetary Sciences Economics, Econometrics & Finance Education Engineering Environmental Science Health Professions Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Medicine & Pharmacology Nursing Physics Public Health Social Sciences Veterinary Other

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Journal : JTAM (Jurnal Teori dan Aplikasi Matematika)

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Estimation of Tail Value at Risk for Bivariate Portfolio using Gumbel Copula Fransiska, Fransiska; Sulistianingsih, Evy; Satyahadewi, Neva
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 9, No 2 (2025): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v9i2.29952

Abstract

Investing in the stock market involves complex risks, especially under extreme and unpredictable conditions. While Value at Risk (VaR) is a widely used risk measure, it has limitations in capturing tail-end risks. This study employs Tail Value at Risk (TVaR) using the Gumbel Copula approach, which effectively models upper-tail dependence in return distributions—an aspect often overlooked by traditional linear correlation methods. This quantitative research utilizes copula-based Monte Carlo simulation. The data consists of daily closing prices of PT Adaro Energy Indonesia Tbk (ADRO) and PT Indo Tambangraya Megah Tbk (ITMG) from July 3, 2023, to July 30, 2024. The analysis begins with return calculation and tests for autocorrelation and homoskedasticity. The Gumbel Copula parameter is estimated using Kendall’s Tau, resulting in a dependence parameter of 1.7791. Based on this, 1,000 simulations are conducted to generate new return data that reflect extreme dependencies between the two stocks. An optimal portfolio is constructed using the Mean-Variance Efficient Portfolio (MVEP) method, assigning weights of 31.61% to ADRO and 68.39% to ITMG. TVaR is then calculated from the simulated portfolio returns. The results show increasing TVaR values at higher confidence levels: 2.08%, 2.64%, 3.14%, and 4.11% for 80%, 90%, 95%, and 99%, respectively. These findings demonstrate that TVaR provides more accurate insights into potential losses in extreme market conditions, supporting investors in developing more informed and risk-sensitive portfolio strategies.
Co-Authors Adpriyadi, Adpriyadi Agustine Panjaitan, Hanna Oliva Amalia, Dhea Amelia, Nanda Angelita, Fifi Aprinata, Azarya Aquinia, Ajeng Ardiyanti, Niki Astrid Pratidina Susilo Astuti, Sinta Puji Bambang Eko Turisno Bistari Christine Christine Diana Rachmawati Dina, Laura Kristia Donald Crestofel Lantu Enjelia, Enjelia Eric, Mussion Eudia K Abriani Evy Sulistianingsih Gary, Gary Hamdani Hamdani Harapan Daulay, Muhammad Huliman, Huliman Isadora Shandy Widyasri Istiyanto Samidjan Jenjang Sri Lestari, Jenjang Sri Julia Julia Khalimatus Suanti Leasfita, Ade Lee, Angelica Marsolita, Loisa Megaria L Parasan Megawati, Eka Meiliana Meiliana Merilyn, Merilyn Mirsa, Dia Mustaspa, Dena Robiatul Nabila, Nabila Nazaret, Tryoanda Neva Satyahadewi Nuratika, Sikin Nurfadilah Siregar Nyoman Sutapa Octa Maria Sihombing Olenggius Jiran Dores, Olenggius Jiran Pancarani , Lintang Ayudhia Paria’ang, Kristiana Pinsensius Budang, Pinsensius Putri, Emiliana Bastiana Ramadhan , Uno Reggina, Frisca Rustam Rustam Saputra, Erico Jaya Saragi, Veronica Sarayati, Sarayati Sari, Yena Pronika Shinta Shinta Simanjuntak, Nova Lady Sirilus Sirhi, Sirilus Situru, Roberto S. Steven, Agripa Eleaser Sudarto Sudarto Sugianto, Tri Suhardjo, Iwan Suparno Suparno Suparno, Suparno Suryameng, Suryameng Syafdi Maizora Syafrial Nur Tadius Tiarnida Nababan Timothy, Chelsy Angelia Tirza Santi Kurniawan Tri Sartika Sari Vanie, Adevy Victor Victor Wedyawati, Nelly Yensy, Nurul Astuty Yohanes Mardinata Rusli, Yohanes Mardinata Yolanda, Maya Yono, Ari Zebua, Vernike Niatda