PENGUKURAN VALUE AT-RISK PADA PORTOFOLIO OBLIGASI DENGAN METODE VARIAN-KOVARIAN

Khoirul Anam (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Di Asih I Maruddani (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Puspita Kartikasari (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)

Jurnal Gaussian
Vol 9, No 4 (2020): Jurnal Gaussian

A bond is investment instrument that is basically a debt investment. The profit gained in investing will be comparable with the risk. An investor must pay attention to the size of the risk in choosing bonds. Value at-Risk (VaR) is a risk measurement instruments for measure the maximum loss of asset or portfolio over a spesicif time interval for a given confidence level under normal market conditions. The purpose of this paper is to explain VaR measurement on bond portfolio using variance-covariance method and prove that method is valid to estimate VaR’s model using likelihood ratio. Variance covariance method was chosen because giving lower estimate potential volatility of asset or portfolio than historical simulation and Monte-Carlo simulation. This article use goverment bonds with code FR0053, FR0061, FR0073, FR0074 and portfolio combination. Normality test of return asset and portfolio are required before calculating VaR values. The result of this paper for confidence level 95% showed that bond portfolio FR0053 with FR0061 have a smaller value with VaR values 2,28% of the total market value. It was concluded that VaR bond portfolio are smaller than VaR single asset. Verification test estimate that VaR values using variance-covariance is valid at confidence level 95%.