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All Journal Jurnal Riset Bisnis dan Manajemen
Khairunnisa Khairunnisa
Fakultas Ekonomi dan Bisnis, Universitas Telkom
Economics, Econometrics & Finance

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PERHITUNGAN VALUE AT RISK (VaR) DENGAN METODE HISTORIS DAN MONTE CARLO PADA SAHAM SUB SEKTOR ROKOK Achmad Dimas; Muhammad Azhari; Khairunnisa Khairunnisa
Jurnal Riset Bisnis dan Manajemen Vol. 11 No. 1 (2018): Edisi Februari
Publisher : Faculty of Economic and Business, University of Pasundan

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (358.001 KB) | DOI: 10.23969/jrbm.v11i1.862

Abstract

The government’s policy, the Indonesian Ulema Council’s (MUI) fatwa, the rise of cigarette issues and anti-smoking campaigns have been a major challenge for the tobacco industry in managing risks. Through this research, the issues will be measured by VaR to know the risk of the company’s shares of cigarette sub sector by using time series data and analyzed by using the simulation method of Historis and Monte Carlo. The results showed the VaR value of GGRM and HMSP stock with the historical method is 3.28 and 2.54%. While the value of VaR shares GGRM and HMSP with Monte Carlo method is 3.52% and 3.14%. Monte Carlo simulation gives greater result than Historical Simulation, because Monte Carlo simulation do iteration repeatedly by involving random number generation and many synthesize the data so that sample data becomes more which makes the calculation is bigger.
Co-Authors Achmad Dimas Nurwijayanti