THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES
The Government of Indonesia is trying to find some solutions to Indonesia's economic problems. One of the problems of Indonesia's economic growth is the lack of capital and correct calculation of capital risks, especially in stock investments can reduce the occurrence of various capital p...
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| Format: | Article |
| Language: | English |
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Universitas Nahdlatul Ulama Surabaya
2021-11-01
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| Series: | Business and Finance Journal |
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| Online Access: | https://journal2.unusa.ac.id/index.php/BFJ/article/view/2156 |
| _version_ | 1811323993799524352 |
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| author | Yoseva Maria Pujirahayu Sumaji |
| author_facet | Yoseva Maria Pujirahayu Sumaji |
| author_sort | Yoseva Maria Pujirahayu Sumaji |
| collection | DOAJ |
| description |
The Government of Indonesia is trying to find some solutions to Indonesia's economic problems. One of the problems of Indonesia's economic growth is the lack of capital and correct calculation of capital risks, especially in stock investments can reduce the occurrence of various capital problems in accordance with the criteria required and obtained by 9 companies analyzed. The analytical method used in calculating market risk in stock investments in this study is variance covariance value at risk. This method is a risk measurement through the highest estimated losses over a period of time and assumed confidence levels. To prove the level of trust of the variance covariance value at risk method, analysis was conducted using back testing method. The results of this study show that the method of calculating variance covariance value at risk is the right and accurate method to calculate market risk from the company's stock.
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| first_indexed | 2024-04-13T14:06:18Z |
| format | Article |
| id | doaj.art-3c1a86b7c19c4807ba2c5a2475155c8c |
| institution | Directory Open Access Journal |
| issn | 2527-4872 2477-393X |
| language | English |
| last_indexed | 2024-04-13T14:06:18Z |
| publishDate | 2021-11-01 |
| publisher | Universitas Nahdlatul Ulama Surabaya |
| record_format | Article |
| series | Business and Finance Journal |
| spelling | doaj.art-3c1a86b7c19c4807ba2c5a2475155c8c2022-12-22T02:43:54ZengUniversitas Nahdlatul Ulama SurabayaBusiness and Finance Journal2527-48722477-393X2021-11-016210.33086/bfj.v6i2.2156THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIESYoseva Maria Pujirahayu Sumaji0Universitas Ciputra Surabaya The Government of Indonesia is trying to find some solutions to Indonesia's economic problems. One of the problems of Indonesia's economic growth is the lack of capital and correct calculation of capital risks, especially in stock investments can reduce the occurrence of various capital problems in accordance with the criteria required and obtained by 9 companies analyzed. The analytical method used in calculating market risk in stock investments in this study is variance covariance value at risk. This method is a risk measurement through the highest estimated losses over a period of time and assumed confidence levels. To prove the level of trust of the variance covariance value at risk method, analysis was conducted using back testing method. The results of this study show that the method of calculating variance covariance value at risk is the right and accurate method to calculate market risk from the company's stock. https://journal2.unusa.ac.id/index.php/BFJ/article/view/2156Value At RiskVariance-covarianceBack testing |
| spellingShingle | Yoseva Maria Pujirahayu Sumaji THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES Business and Finance Journal Value At Risk Variance-covariance Back testing |
| title | THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES |
| title_full | THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES |
| title_fullStr | THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES |
| title_full_unstemmed | THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES |
| title_short | THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES |
| title_sort | calculation of value at risk using variance covariance in lq 45 companies |
| topic | Value At Risk Variance-covariance Back testing |
| url | https://journal2.unusa.ac.id/index.php/BFJ/article/view/2156 |
| work_keys_str_mv | AT yosevamariapujirahayusumaji thecalculationofvalueatriskusingvariancecovarianceinlq45companies AT yosevamariapujirahayusumaji calculationofvalueatriskusingvariancecovarianceinlq45companies |