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All Journal Al-Khwarizmi: Jurnal Pendidikan Matematika dan Ilmu Pengetahuan Alam JATI EMAS (Jurnal Aplikasi Teknik dan Pengabdian Masyarakat) ESTIMASI: Journal of Statistics and Its Application
Anisa Anisa
Universitas Hasanuddin
Humanities Education Engineering Mathematics Public Health Other

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Journal : ESTIMASI: Journal of Statistics and Its Application

 1 
Nilai Risiko Terkondisi pada Return Finansial Menggunakan Metode Copula Gumbel Najiha Alimatun; Anisa Anisa; Andi Kresna Jaya
ESTIMASI: Journal of Statistics and Its Application Vol. 3, No. 1, Januari, 2022 : Estimasi
Publisher : Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/ejsa.vi.12246

Abstract

The calculation of VaR is assumed normal distribution while the conditions in the real world distribution conditions of the return value depends on the market conditions that occurred at the time. Thus, this makes VaR estimates invalid which results in portfolio risk occurring greater than the predetermined risk. Therefore, In this study, the estimated risk value uses the Conditional Value at Risk (CVaR), which measures the expected value depending on what is the worst percentage of the risk loss, and using Copula Gumbel to model financial return in the investment data of PT. Telkomunikasi Indonesia tbk and PT. XL Axiata tbk. for the period March 11, 2019 to March 10, 2020. In this study, the CVaR estimation results for the 99% confidence level is 0.231, while for the VaR estimate it is 0.192. This indicates that risk value with CVaR estimate is better able to show higher risk than VaR.
Analisis Value at Risk pada Portofolio Saham PT. Adaro Energy Tbk dan PT. Bukit Asam Tbk Menggunakan Metode Copula Archimedean Victor Liman; Georgina Maria Tinungki; Anisa Anisa
ESTIMASI: Journal of Statistics and Its Application Vol. 4, No. 2, Juli, 2023 : Estimasi
Publisher : Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/ejsa.v4i2.25575

Abstract

Value at Risk (VaR) is statistical method used in risk analysis in stock investments. Stock returns that are not normally distributed cause the risk calculation to be less precise, so to overcome this, the copula method can be used. Copula is a method based on dependencies between variables. The most commonly known copula family is the Archimedean copula which consists of the Clayton, Frank, and Gumbel copula. VaR is expected to be a feasible method to use, so it is important to perform backtesting. In this research, we use data on the daily closing price of PT. Adaro Energy Tbk and PT. Bukit Asam Tbk May 11, 2020 until June 15, 2022. The best copula based on the smallest Empirical copula value is Frank copula. VaR estimates for the 90%, 95%, and 99% confidence levels respectively were 2.688%, 3.545%, and 5.014%. The higher the confidence level, the VaR value is also higher. Based on backtesting results, VaR with Frank copula method is valid at 90%, 95%, and 99% confidence levels.
Co-Authors Afifah Afifah Ainun Mawaddah Abdal Alfiana Wahyuni Alimatun Najiha Andi Kresna Jaya Anna Islamiyati Anna Islamiyati Edy Saputra Rusdi Georgina Maria Tinungki Jusmawati Massalesse Kasbawati Kasbawati Muralia Hustim Naimah Aris Najhah Aris Nasrah Sirajang Nur Erawaty Nurdin Nurdin Raupong, Raupong Sitti Sahriman Sri Astuti Thamrin Victor Liman