Siber International Journal of Digital Business
Vol. 1 No. 1 (2023): (SIJDB) Siber International Journal of Digital Business (July - September 2023)

Calculation of Value At Risk using Historical Simulation, Variance Covariance and Monte Carlo Simulation Methods

Mahaputra, M. Rizky (Unknown)
Yandi, Andri (Unknown)
Maharani, Amalina (Unknown)

Article Info

Publish Date
01 Jul 2023

Abstract

The purpose of this study is to measure the Value at Risk of single assets of companies listed on the Jakarta Islamic Index using the Historical Simulation, Variance Covariance and Monte Carlo Simulation methods. The research method is defined as a scientific way to obtain data with specific purposes and uses. The research design used in this study is a comparative study, this study uses data analysis methods with a quantitative approach. The results of the research are based on validity testing using the Backtesting Kupiec method and Basel traffic light known that all three methods are used in this study produces a valid (accurate) VaR value for used.

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Journal Info
Siber International Journal of Digital Business
Website

Abbrev

SIJDB

Publisher

Siber Nusantara Review

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

iber International Journal of Digital Business (SIJDB) is a scientific research journal on science and technology in digital business management, managed and published by Siber Nusantara Review & Yayasan Sinergi Inovasi Bersama (SIBER). SIJDB contains articles that contribute to the understanding, ...