PENGUKURAN VALUE AT RISK PADA ASET TUNGGAL DAN PORTOFOLIO DENGAN SIMULASI MONTE CARLO

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...

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Bibliographic Details
Main Authors: Di Asih I Maruddani, Ari Purbowati
Format: Article
Language:English
Published: Universitas Diponegoro 2009-12-01
Series:Media Statistika
Online Access:https://ejournal.undip.ac.id/index.php/media_statistika/article/view/2499

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