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Journal : ISTIFHAM

 1 
Analisis Risiko Investasi Saham Sektor Perbankan Syariah Menggunakan Perhitungan Value at Risk (VaR) dengan Model Simulasi Monte Carlo Marlinda, Marlinda
ISTIFHAM Vol 2 No 1 (2024)
Publisher : Seutia Hukamaa Cendekia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.71039/istifham.v2i1.55

Abstract

Risk is a fact that investors must face in stock investment activities. Investors need risk management and estimation to avoid higher risks due to stock price fluctuations that are difficult to predict. Risk management is a system of supervision and protection to minimize acceptable risks. The risk of a stock can be measured using Value at Risk (VaR). VaR is an estimate of the maximum risk obtained by investors under normal market conditions, periods and certain levels of confidence. One of the methods used to determine VaR is Monte Carlo Simulation which includes the generation of random numbers. This method is considered the most powerful in estimating VaR. This study aims to estimate stock risk on single assets and portfolios at BRIS and BTPS for the period January 1, 2021 - December 31, 2023, using VaR calculation with Monte Carlo simulation. The secondary data used in this study is the daily closing stock price data of PT Bank Syariah Indonesia Tbk (BRIS) and PT Bank BTPN Syariah Tbk (BTPS) during the period January 1, 2021-31 December 2023. Based on the results of the test analysis, it shows that on a single asset, PT Bank BTPN Syariah Tbk (BTPS) has a VaR level of IDR 20,014,498 higher than the VaR level of PT Bank Syariah Indonesia Tbk (BRIS) of IDR 19,947,342. In the calculation of the portfolio with the weight of BRIS = 50% and BTPS = 50% shares shows a loss of Rp15,529,484. The VaR value is lower than the VaR value of each asset, it can be concluded that the diversification effect can minimize the risk of stock investment.
Co-Authors AA Sudharmawan, AA Abdallah Al-Shreifeen, Iyad Abdiel Khaleil Akmal Abdul Rahman Adramisa, Yogi Afryaningsih, Yunika Ahmad Yani T Aini, Siti Dhea Nur Alam, Ahmad Noor Ali, Sulaiman Alwathan Alwathan Amanda, Dea Prisca ANDRI KURNIAWAN Andriani, Silvia Anggraeni, Sumi Aprilia, Nursyam Ardansyah, Ardansyah Ariansyah, Wanda Baehaqi Basuki , Bistari Daud, Daman huri Dewi, Cut Dara Elviana Elviana, Elviana Erlina Erlina Erviana, Jumarnis May Evayanti, Yulistiana Fahrudiana, Fuadah Fajar, Ulul Al Gusmawati Gusmawati, Gusmawati Hadi, Rizal Hadiyanto Hadiyanto Hafni Zahara Halim, Abd Harapan, Edi Hartati, Rita Hasan, Hasmulyadi Helmi Hasan Hendra Syahputra Hidayat, Finda Hidjrawan, Yusi Hikmah, Muziatun Indra Jaya Irmayani Irmayani Istikomah Istikomah Istiqomah, Dzul Jamil, Jannatul Juliana, Imroatul Juswandi Juswandi K.M. Aminuddin Kadri, Hanif Al Kaiman Turnip, Kaiman Kartika, Dinda Khairul Hadi Kurniasari, Devi Kusuma, Imam Fatwa Listiarini, Yuni M. Irwan M. Irwan, M. Irwan Madiyanti, Desi Ari Mahmud Alpusari Mahmud Basuki Mardhiyah Nadir, Mardhiyah Masri, Arfi Mauliana Mauliana, Mauliana Mei, Eka Meldi, Nadya Febriani Muh Irwan, Muh Muhammad Faisal Muliadi Mulyani Mulyani Nasrah, Rasidah Nayandra Hazara Assyabil Nellitawati Nellitawati Nissa Prasanti Nurdin, Ambia Nurfadilah Siregar Nurhadia, Nurhadia Nurul Nurul Oktavianti Oktavianti Oktavioni, Dea Olivia, Mirda Pupung Purnamasari Puspasari, Febriyati Putra, Dedi Fazriansyah Rahmadani, Aulia Rahmawati, Talisa Ramadhani, Eliza Ramli Ramli Ramli Thahir Rifma Rifma Rita Hartati Rustam Rustam Sadida, Wahyuni Safitriyawi, Roja Saumi , Fazrina Septiasari, Yeti Sofiyanurriyanti Sufyarma Marsidin Sukma Nur Ardini Sulastri Sulastri Suparno Suparno Syafri Hariansah Syam, Muhammad Taufik Syamsiar, Syamsiar Tiara, Tiara Tomo, Tomo Tussellawati, Hani Utami, Vida Wira Veithzal Rivai Zainal Wahyu Widayati, Wahyu Wahyudi Wahyudi Wahyuni, Srie Windrianatama, Egita Yandi, M. K. Yoserizal Yoserizal Yusi Hidjrawan Zahirah, Putri Zainuddin, Zainuddin Zulkifli Zulkifli