scholarly journals VALUE at RISK (VaR) DAN CONDITIONAL VALUE at RISK (CVaR) DALAM PEMBENTUKAN PORTOFOLIO BIVARIAT MENGGUNAKAN COPULA GUMBEL

2020 ◽  
Vol 9 (3) ◽  
pp. 326-335
Author(s):  
Dina Rahma Prihatiningsih ◽  
Di Asih I Maruddani ◽  
Rita Rahmawati
Keyword(s):  
At Risk ◽  
High Risk ◽  
Confidence Level ◽  
Value At Risk ◽  
Joint Distribution ◽  
Conditional Value At Risk ◽  
Arima Models ◽  
R Software ◽  
Selection Of

One way to minimize risk in investing is to form of portfolio by combining several stocks.Value at Risk (VaR) is a method for estimating risk but has a weakness that is VaR is incoherent because it does not have the subadditivity. To overcome the weakness of VaR, Conditional Value at Risk (CVaR) can use. Stock data is generally volatile, so ARIMA-GARCH is used to model it. The selection of ARIMA models on R software can be automatically using the auto.arima() function. Then Copula Gumbel is a method for modeling joint distribution and flexible because it does not require the assumption of normality and has the best sensitivity to high risk so that it is suitable for use in stock data.The first step in this research is to modeling Copula Gumbel-GARCH with the aim to calculate VaR and CVaR on the portfolio of PT Bank Mandiri Tbk (BMRI) and PT Indo Tambangraya Megah Tbk (ITMG). At the confidence level 99%, 95%, and 90% obtained the VaR results sequentially amounted to 3.977073%; 2.546167%; and 1.837288% and the CVaR results sequentially amounted to 4.761437%; 3.457014%; and 2.779182%. The worst condition is a loss with VaR and it is still possible if a worse condition occurs is a loss with CVaR so that investors can be more aware of the biggest loss that will be suffered.Keywords: Value at Risk, Conditional Value at Risk, Auto ARIMA, Copula Gumbel.

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 VALUE AT RISK PADA PORTOFOLIO SAHAM DENGAN COPULA ALI-MIKHAIL-HAQ

2019 ◽  
Vol 8 (4) ◽  
pp. 543-556
Author(s):  
Delsy Nurutsaniyah ◽  
Tatik Widiharih ◽  
Di Asih I Maruddani
Keyword(s):  
At Risk ◽  
Monte Carlo ◽  
Confidence Level ◽  
Value At Risk ◽  
Joint Distribution ◽  
Conditional Heteroskedasticity ◽  
Model Data ◽  
Time Period ◽  
High Volatility ◽  
Measuring Tool

Investment is one alternative to increase assets in the future. Investors can invest in a portfolio to reduce the level of risk. Value at Risk (VaR) is a measuring tool that can calculate the worst loss over a given time period at a given confidence level. GARCH (Generalized Autoregressive Conditional Heteroskedasticity) is used to model data with high volatility. The teory of copula is a powerful tool for modeling joint distribution for any marginal distributions. Ali-Mikhail-Haq copula from Archimedean copula family can be applied to data with dependencies τ between -0.1817 to 0.3333. This research uses Ali-Mikhail-Haq copula with a Monte Carlo simulation to calculate a bivariate portfolio VaR from a combination stocks of PT Pembangunan Perumahan Tbk. (PTPP), PT Bank Tabungan Negara Tbk. (BBTN), and PT Jasa Marga Tbk. (JSMR) in the period of March 3, 2014 - March 1, 2019. The results of VaR calculation on bivariate portfolio for next 1 day period obtained the lowest VaR is owned by bivariate portfolio between PTPP and JSMR with a weight of 30% and 70% at confidence level of 99%, 95%, and 90% respectively are 4.014%, 2.545%, and 1.876%.Keywords: Value at Risk, GARCH, Ali-Mikhail-Haq Copula, Monte Carlo

scholarly journals A New Family of Expectiles and its Properties

2020 ◽  
pp. 43-58
Author(s):  
Viktor Kuzmenko
Keyword(s):  
At Risk ◽  
Confidence Level ◽  
Value At Risk ◽  
Optimization Problems ◽  
Risk Measure ◽  
Risk Function ◽  
Discrete Distributions ◽  
Conditional Value At Risk ◽  
New Family ◽  
Two Parameters

Introduction. This paper considers a risk measure called expectile. Expectile is a characteristic of a random variable calculated using the asymmetric least square method. The level of asymmetry is defined by a parameter in the interval (0, 1). Expectile is used in financial applications, portfolio optimization problems, and other applications as well as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). But expectile has a set of advantageous properties. Expectile is both a coherent and elicitable risk measure that takes into account the whole distribution and assigns greater weight to the right tail. The purpose of the paper. As a rule, expectile is compared with quantile (VaR). Our goal is to compare expectile with CVaR by introducing the same parameter – confidence level. To do this we first give a new representation of expectile using the weighted sum of mean and CVaR. Then we consider a new family of expectiles defined by two parameters. Such expectiles are compared with quantile and CVaR for different continuous and finite discrete distributions. Our next goal is to build a regular risk quadrangle where expectile is a risk function. Results. We propose and substantiate two new expressions that define expectile. The first expression uses maximization by varying confidence level of CVaR and varying coefficient before CVaR. It is specified for continuous and finite discrete distributions. The second expression uses minimization of the new error function of the new expectile-based risk quadrangle. The use of two parameters in expectile definition changes the dependence of expectile on its confidence level and generates a new family of expectiles. Comparison of new expectiles with quantile and CVaR for a set of distributions shows that the proposed expectiles can be closer to the quantile than the standard expectile. We propose two variants for expectile linearization and show how to use them with a linear loss function. Keywords: Expectile, EVaR, Quantile, Conditional Value-at-Risk, CVaR, Kusuoka representation, Fundamental Risk Quadrangle, Portfolio Safeguard package.

A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

2014 ◽  
Vol 16 (6) ◽  
pp. 3-29 ◽  
Author(s):  
Samuel Drapeau ◽  
Michael Kupper ◽  
Antonis Papapantoleon
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Certainty Equivalents
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