Operations Research: International Conference Series
Vol. 3 No. 4 (2022): Operations Research International Conference Series (ORICS), December 2022

Value-at-Risk Estimation with Normal Distribution Approach on Stock Return of BBNI and BBRI

Susanti, Dwi (Unknown)

Article Info

Publish Date
05 Dec 2022

Abstract

This paper discusses risk analysis on a single stock return. Stock data analyzed are shares of BBNI and BBRI. The method used is Value-at-Risk with a normal distribution approach. The steps are, after obtaining stock returns, then the value-at-risk (VaR) is estimated using a normal distribution approach. Then a back-test is carried out to measure the performance of risk measures. The results of the analysis show that VaR for BBNI and BBRI produces a small QPS close to zero. This shows that VaR with the normal distribution approach is more consistent and can be used to measure risk for BBNI and BBRI. 

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Journal Info
Operations Research: International Conference Series
Website

Abbrev

Orics

Publisher

Indonesian Operations Research Association

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Mathematics

Description

Operations Research: International Conference Series (ORICS) is published 4 times a year and is the flagship journal of the Indonesian Operational Research Association (IORA). It is the aim of ORICS to present papers which cover the theory, practice, history or methodology of OR. However, since OR ...