EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN
According to Christoffersen (1998), the property of a good VaR model are correct unconditional coverage, correct independence test and correct conditional coverage. Unconditional coverage test calculate how much violations exceed the VaR. If average of violations exceeded the percentage of VaR value...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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| author | , Maryanto , Dr. Abdurakhman, S.Si, M.Si. |
| author_facet | , Maryanto , Dr. Abdurakhman, S.Si, M.Si. |
| author_sort | , Maryanto |
| collection | UGM |
| description | According to Christoffersen (1998), the property of a good VaR model are correct unconditional coverage, correct independence test and correct conditional coverage. Unconditional coverage test calculate how much violations exceed the VaR. If average of violations exceeded the percentage of VaR value, so it is called bad model. Independence test calculate how much violations clustering. If a model VaR has much violations clustering, so it is called bad model, because the risk of bankruptcy would be much higher than if the violations came scattered randomly through time. Conditional coverage test is simultaneously testing both unconditional coverage and independence test. Backtesting base on Christoffersen method different way with Kupiec method. Kupiec method only test on unconditional coverage, so Christoffersen method more complete than Kupiec method. |
| first_indexed | 2024-03-13T23:21:04Z |
| format | Thesis |
| id | oai:generic.eprints.org:128467 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T23:21:04Z |
| publishDate | 2014 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1284672016-03-04T08:01:58Z https://repository.ugm.ac.id/128467/ EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN , Maryanto , Dr. Abdurakhman, S.Si, M.Si. ETD According to Christoffersen (1998), the property of a good VaR model are correct unconditional coverage, correct independence test and correct conditional coverage. Unconditional coverage test calculate how much violations exceed the VaR. If average of violations exceeded the percentage of VaR value, so it is called bad model. Independence test calculate how much violations clustering. If a model VaR has much violations clustering, so it is called bad model, because the risk of bankruptcy would be much higher than if the violations came scattered randomly through time. Conditional coverage test is simultaneously testing both unconditional coverage and independence test. Backtesting base on Christoffersen method different way with Kupiec method. Kupiec method only test on unconditional coverage, so Christoffersen method more complete than Kupiec method. [Yogyakarta] : Universitas Gadjah Mada 2014 Thesis NonPeerReviewed , Maryanto and , Dr. Abdurakhman, S.Si, M.Si. (2014) EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=68814 |
| spellingShingle | ETD , Maryanto , Dr. Abdurakhman, S.Si, M.Si. EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN |
| title | EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN |
| title_full | EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN |
| title_fullStr | EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN |
| title_full_unstemmed | EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN |
| title_short | EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN |
| title_sort | evaluasi model simulasi historis value at risk portfolio dengan metode christoffersen |
| topic | ETD |
| work_keys_str_mv | AT maryanto evaluasimodelsimulasihistorisvalueatriskportfoliodenganmetodechristoffersen AT drabdurakhmanssimsi evaluasimodelsimulasihistorisvalueatriskportfoliodenganmetodechristoffersen |