scholarly journals VALUE AT RISK (VAR) METODE DELTA-NORMAL BERDASARKAN DURASI UNTUK UKURAN RISIKO OBLIGASI PEMERINTAH

2021 ◽  
Vol 10 (3) ◽  
pp. 455-465
Author(s):  
Setiani Setiani ◽  
Di Asih I Maruddani ◽  
Dwi Ispriyanti
Keyword(s):  
At Risk ◽  
Confidence Level ◽  
Value At Risk ◽  
Market Price ◽  
Bond Market ◽  
Market Conditions ◽  
Maximum Loss ◽  
Normality Test ◽  
Bond Portfolio ◽  
Normal Method

A bond is one of invesment instrument that is basically a debt instrument. In investing, beside getting profit there is also the risk of loss. The risk of loss is unavoidable but it can be manageable. The concept of a portfolio in investing is to minimize risk. Value at Risk (VaR) is a method used to measure risk where VaR states the estimated amount of the maximum loss that will be obtained at a certain level of confidence during a certain period in normal market conditions. In this article the risk of bonds FR0053, FR0056, FR0059, FR0061 and portfolio combinations calculated with VaR value of the Delta-Normal method are calculated based on the duration of the bonds. Normality test of the bond market price return is required before calculating VaR. The results obtained if it is assumed that the bonds are purchased at a price of 100 and with a confidence level of 95%, then the portfolio that has the smallest risk is the Bond portfolio of FR0059 and FR0061 with a VaR value  Rp 21,436 (Trillions).  

scholarly journals PENGUKURAN VALUE AT-RISK PADA PORTOFOLIO OBLIGASI DENGAN METODE VARIAN-KOVARIAN

2020 ◽  
Vol 9 (4) ◽  
pp. 434-443
Author(s):  
Khoirul Anam ◽  
Di Asih I Maruddani ◽  
Puspita Kartikasari
Keyword(s):  
At Risk ◽  
Confidence Level ◽  
Value At Risk ◽  
Time Interval ◽  
Measurement Instruments ◽  
Historical Simulation ◽  
Maximum Loss ◽  
Normality Test ◽  
Bond Portfolio ◽  
Verification Test

A bond is investment instrument that is basically a debt investment. The profit gained in investing will be comparable with the risk. An investor must pay attention to the size of the risk in choosing bonds. Value at-Risk (VaR) is a risk measurement instruments for measure the maximum loss of asset or portfolio over a spesicif time interval for a given confidence level under normal market conditions. The purpose of this paper is to explain VaR measurement on bond portfolio using variance-covariance method and prove that method is valid to estimate VaR’s model using likelihood ratio. Variance covariance method was chosen because giving lower estimate potential volatility of asset or portfolio than historical simulation and Monte-Carlo simulation. This article use goverment bonds with code FR0053, FR0061, FR0073, FR0074 and portfolio combination. Normality test of return asset and portfolio are required before calculating VaR values. The result of this paper for confidence level 95% showed that bond portfolio FR0053 with FR0061 have a smaller value with VaR values 2,28% of the total market value. It was concluded that VaR bond portfolio are smaller than VaR single asset. Verification test estimate that VaR values using variance-covariance is valid at confidence level 95%.

scholarly journals ANALISIS RISIKO INVESTASI DEPOSITO MUDHARABAH (Studi pada Bank Syariah Mandiri Tahun 2013-2015)

2016 ◽  
Vol 2 (02) ◽  
Author(s):  
Ulul Azmi Mustofa ◽  
Iin Emy Prastiwi
Keyword(s):  
At Risk ◽  
Confidence Level ◽  
Value At Risk ◽  
Financial Risk ◽  
Investment Risk ◽  
Financial Report ◽  
Net Return ◽  
Var Analysis ◽  
Maximum Loss ◽  
The Mean

Value at Risk  is defined as an estimate of the maximum  loss of an investment over a given period and a given confidence level. The  purposes of this research is to understand the size of financial risk and net return of mudharabah deposit on Islamic  bank using Value at Risk (VaR) approach. Objects of this research is quarterly financial report of Bank Syariah Mandiri, for three years, 2013-2015. VaR analysis shows that  investment mudaraba deposits at Bank Syariah Mandiri as measured by VaR approach to investment risk (VaRmean) in 2013 amounted to 0.30%, and a net return of 0.54%, in 2014 the mean VaR 0.18%, and the net return 0.62%, in 2015 the mean VaR of 0.25%, and a net return of 0.55%. Keywords : Value at Risk ( VaR ), risk, net return, mudharabah deposit

EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Kasus pada Saham IDX30)

2021 ◽  
Vol 10 (2) ◽  
pp. 269-278
Author(s):  
Eis Kartika Dewi ◽  
Dwi Ispriyanti ◽  
Agus Rusgiyono
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Market Price ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Share Price ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment

Stock investment is a commitment to a number of funds in marketable securities which shows proof of ownership of a company with the aim of obtaining profits in the future. For obtaining optimal returns from stock investments, investors are expected to form optimal portfolios. The optimal portfolio formation using the Single Index Model is based on the observation that a stock fluctuates in the direction of the market price. It shows that most stocks tend to experience price increases if the market share price rises, and vice versa. Selection of optimal portfolio-forming stocks on IDX30 using the Single Index Model method produces 4 stocks, that are BRPT (Barito Pacific Tbk.) with weight 31.134%, ICBP (Indofood CBP Sukses Makmur Tbk.) 17.138%, BBCA (Bank Central Asia Tbk.) 51.331% and SMGR (Semen Indonesia (Persero) Tbk.) 0.397%. Every investment must have a risk, for that investors need to calculate the possible risks that occur before investing. To calculate risk, Expected Shortfall (ES) is used as a measure of risk that is better than Value at Risk (VaR) because ES fulfill the subadditivity. At the 95% confidence level, the ES value is 23.063% while the VaR value is 10.829%. This means that the biggest possible risk that an optimal portfolio investor will receive using the Single Index Model for the next five weeks is 23.063%.Keywords : Portfolio, Single Index Model, Expected Shortfall, Value at Risk.

scholarly journals PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB

2022 ◽  
Vol 10 (4) ◽  
pp. 508-517
Author(s):  
Umiyatun Muthohiroh ◽  
Rita Rahmawati ◽  
Dwi Ispriyanti
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Confidence Level ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Optimal Portfolios

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).  

scholarly journals ESTIMASI NILAI CONDITIONAL VALUE AT RISK MENGGUNAKAN FUNGSI GAUSSIAN COPULA

2015 ◽  
Vol 4 (4) ◽  
pp. 188
Author(s):  
HERLINA HIDAYATI ◽  
KOMANG DHARMAWAN ◽  
I WAYAN SUMARJAYA
Keyword(s):  
At Risk ◽  
Confidence Level ◽  
Value At Risk ◽  
Risk Measure ◽  
Copula Function ◽  
Gaussian Copula ◽  
Nonlinear Dependence ◽  
Conditional Value At Risk ◽  
Dependence Structure ◽  
Measurement Tools

Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn’t require the assumption of normal distribution. There fore it is suitable to be applied to financial data. To manage a risk the necessary measurement tools can help mitigate the risks. One measure that can be used to measure risk is Value at Risk (VaR). Although VaR is very popular, it has several weaknesses. To overcome the weakness in VaR, an alternative risk measure called CVaR can be used. The porpose of this study is to estimate CVaR using Gaussian copula. The data we used are the closing price of Facebook and Twitter stocks. The results from the calculation using 90%  confidence level showed that the risk that may be experienced is at 4,7%, for 95% confidence level it is at 6,1%, and for 99% confidence level it is at 10,6%.

scholarly journals An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange

2009 ◽  
Vol 54 (183) ◽  
pp. 119-138 ◽  
Author(s):  
Milica Obadovic ◽  
Mirjana Obadovic
Keyword(s):  
At Risk ◽  
Failure Rate ◽  
Confidence Level ◽  
Analytical Method ◽  
Value At Risk ◽  
Risk Evaluation ◽  
Risk Model ◽  
Stock Exchange ◽  
Confidence Levels ◽  
The Given

This paper presents market risk evaluation for a portfolio consisting of shares that are continuously traded on the Belgrade Stock Exchange, by applying the Value-at-Risk model - the analytical method. It describes the manner of analytical method application and compares the results obtained by implementing this method at different confidence levels. Method verification was carried out on the basis of the failure rate that demonstrated the confidence level for which this method was acceptable in view of the given conditions.

scholarly journals PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB

2021 ◽  
Vol 10 (3) ◽  
pp. 445-454
Author(s):  
Umiyatun Muthohiroh ◽  
Rita Rahmawati ◽  
Dwi Ispriyanti
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Confidence Level ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Optimal Portfolios

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).  

Worst Expected Best method for assessment of probabilistic network expected value at risk: application in supply chain risk management

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abroon Qazi ◽  
Mecit Can Emre Simsekler
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Supply Chain ◽  
Confidence Level ◽  
Value At Risk ◽  
Supply Chain Risk Management ◽  
Supply Chain Risk ◽  
Content Type ◽  
Probabilistic Network ◽  
Risk Appetite

PurposeThe purpose of this paper is to develop and operationalize a process for prioritizing supply chain risks that is capable of capturing the value at risk (VaR), the maximum loss expected at a given confidence level for a specified timeframe associated with risks within a network setting.Design/methodology/approachThe proposed “Worst Expected Best” method is theoretically grounded in the framework of Bayesian Belief Networks (BBNs), which is considered an effective technique for modeling interdependency across uncertain variables. An algorithm is developed to operationalize the proposed method, which is demonstrated using a simulation model.FindingsPoint estimate-based methods used for aggregating the network expected loss for a given supply chain risk network are unable to project the realistic risk exposure associated with a supply chain. The proposed method helps in establishing the expected network-wide loss for a given confidence level. The vulnerability and resilience-based risk prioritization schemes for the model considered in this paper have a very weak correlation.Originality/valueThis paper introduces a new “Worst Expected Best” method to the literature on supply chain risk management that helps in assessing the probabilistic network expected VaR for a given supply chain risk network. Further, new risk metrics are proposed to prioritize risks relative to a specific VaR that reflects the decision-maker's risk appetite.

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