PENGUKURAN VALUE AT RISK PADA ASET TUNGGAL DAN PORTOFOLIO DENGAN SIMULASI MONTE CARLO
Value at Risk (VaR) is the established standard for measuring market risk. VaR measures the worst expected loss under normal market conditions over a specific time interval at a given confidence level. A VaR statistic has three components: a time period, a confidence level and a loss amount (or loss...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Diponegoro
2009-12-01
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| Series: | Media Statistika |
| Online Access: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/2499 |