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

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).

ANALISIS RISIKO PORTOFOLIO MENGGUNAKAN METODE SIMULASI MONTE CARLO CONTROL VARIATES

Value at Risk (VaR) is a method to measure the maximum loss with a certain level of confidence in a certain period. Monte Carlo simulation is the most popular method of calculating VaR. The purpose of this study is to demonstrate control variates method as a variance reduction method that can be applied to estimate VaR. Moreover, it is to compare the results with the normal VaR method or analytical VaR calculation. Control variates method was used to find new returns from all stocks which are used as estimators of the control variates. The new returns were then used to define parameters needed to generate N random numbers. Furthermore, the generated numbers were used to find the VaR value. The method was then applied to estimate a portfolio of the game and esports company stocks that are EA, TTWO, AESE, TCEHY, and ATVI . The results show Monte Carlo simulation gives VaR of US$41.6428 within 1000 simulation, while the analytical VaR calculation or normal VaR method gives US$30.0949.

Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns

Before buying a stock, an investor must estimate the risk which will be received. VaR is one of the methods that can be used to measure the level of risk. Most stock returns have a high fluctuation, so the variant is heteroscedastic, which is thought to be caused by exogenous variables. The time series model used to model data that is not only influenced by the previous period but is also influenced by exogenous variables is ARIMAX. In contrast, the GARCHX model is used to obtain a more optimal stock return data model with heteroscedasticity cases and is influenced by exogenous variables. This study uses the ARIMAX-GARCHX model to calculate the VaR of the stock returns of PT Bank Central Asia Tbk. The exogenous variables used are the exchange rate return of IDR/USD and the return of the JCI in the period January 3, 2017, to March 31, 2021. The best model chosen is the ARIMAX(2,0,1,1)-GARCHX(1,1,1). VaR calculation is carried out with the concept of moving windows with time intervals of 250, 375, and 500 transaction days. The results obtained at the 95% confidence level, the maximum loss obtained by an investor is 1,4%.

Yb-ASE Suppression in Single-Frequency Hybrid Double Cladding Erbium–Ytterbium Co-Doped Fiber Amplifier with SMS Structure

A hybrid double cladding erbium–ytterbium co-doped fiber (EYDF) amplifier with a single-mode-multimode-single-mode (SMS) active fiber is demonstrated in this study. The hybrid gain fiber with an SMS structure is composed of two kinds of EYDFs with 6 and 12 μm core diameters. The transmission spectra of the SMS fiber structure were theoretically analyzed and the simulation results indicated that the maximum loss in the 1~1.1 μm band where the Yb-band amplified spontaneous emission (Yb-ASE) located, was much larger than that of the 1.5-μm band because of the wavelength difference. The power performance and spectra properties of the hybrid fiber amplifier were theoretically and experimentally analyzed and compared with a typical uniform fiber amplifier under the same conditions. The experimental results demonstrated that this hybrid fiber amplifier can suppress the Yb-ASE by over 12 dB and increase the slope efficiency by more than 2%, but the ASE in the 1.5-μm band increases by 2~3 dB. This work provides a possible method to enable EYDF amplifiers to suppress the Yb-ASE and overcome the pump bottleneck effect.

Evaluating the Potential of Rhyolitic Glass as a Lithium Source for Brine Deposits

Lithium is an economically important element that is increasingly extracted from brines accumulated in continental basins. While a number of studies have identified silicic magmatic rocks as the ultimate source of dissolved brine lithium, the processes by which Li is mobilized remain poorly constrained. Here we focus on the potential of low-temperature, post-eruptive processes to remove Li from volcanic glass and generate Li-rich fluids. The rhyolitic glasses in this study (from the Yellowstone-Snake River Plain volcanic province in western North America) have interacted with meteoric water emplacement as revealed by textures and a variety of geochemical and isotopic signatures. Indices of glass hydration correlate with Li concentrations, suggesting Li is lost to the water during the water–rock interaction. We estimate the original Li content upon deposition and the magnitude of Li depletion both by direct in situ glass measurements and by applying a partition-coefficient approach to plagioclase Li contents. Across our whole sample set (19 eruptive units spanning ca. 10 m.y.), Li losses average 8.9 ppm, with a maximum loss of 37.5 ppm. This allows estimation of the dense rock equivalent of silicic volcanic lithologies required to potentially source a brine deposit. Our data indicate that surficial processes occurring post-eruption may provide sufficient Li to form economic deposits. We found no relationship between deposit age and Li loss, i.e., hydration does not appear to be an ongoing process. Rather, it occurs primarily while the deposit is cooling shortly after eruption, with δ18O and δD in our case study suggesting a temperature window of 40° to 70°C.

Weight Loss during Calcination and Sintering Process of Na0.5Bi0.5TiO3–Bi1/2(Mg2/3Nb1/3)O3 Composite Lead-Free Piezoelectric Ceramics

(1 − x)(Na0.5Bi0.5)TiO3–xBi(Mg2/3Nb1/3)O3 ceramics with x = 0.00 mol.% (0BMN), 0.01 mol.% (1BMN), 0.03 mol.% (3BMN), and 0.05 mol.% (5BMN) were synthesized using a solid-state processing technique. The thermogravimetric analysis (TGA) of uncalcined samples up to 730 °C showed that the maximum weight loss was observed for 3BMN, whereas the minimum weight loss was attributed to the 0BMN sample. After that, calcination was performed at 800 °C for 4 h. The XRD of calcined samples showed the successful formation of the perovskite phase with no impurity phases. 1BMN and 3BMN samples showed some of the lattice strain; however, a morphotropic phase boundary (MPB) existed around x = 0.03 between the rhombohedral and tetragonal structure. The TGA of the green pellets showed weight loss up to the sintering temperature (1100 °C) and during the 3 h holding period. 5BMN showed the maximum weight loss up to sintering temperature, as well as during the holding period, whereas 0BMN displayed the minimum weight loss up to sintering temperature, as well as some weight gain during the holding period. The relative permittivity (εr) was maximum at low frequencies, but the addition of BMN improved the εr. The frequency dependence of dielectric loss (tanδ) showed that the maximum loss was observed for 3BMN at lower frequencies, and 5BMN showed the maximum loss at higher frequency among all samples.

Stability of the Glutathione Supplementation into Parenteral Nutrition to Protect Very Preterm Babies from Oxidative Stress

Most very premature newborns (< 32 weeks of gestation) receive parenteral nutrition (PN) that is inherently contaminated with peroxides. Oxidative stress induced by PN is associated with bronchopulmonary dysplasia, a main pathological complication in these babies who have weak antioxidant capacity to detoxify peroxides because of their glutathione deficiency. In animals, glutathione supplementation of PN prevented oxidative stress and alveolar loss (the main characteristic of bronchopulmonary dysplasia). Of its two forms - disulfide (GSSG) and free thiol (GSH) - GSSG was used because of its better stability in PN. However, a 30% loss of GSSG in PN is observed. The potentially high therapeutic benefits of GSSG supplementation on the health of very premature babies makes the study of its stability highly important. Thus, GSSG was incubated in combination with the following components of PN: dextrose, multivitamins, Primene, Travasol, as well as with cysteine, cystine and peroxides for 24h. Total glutathione in these solutions was measured 0-24h after the addition of GSSG. The combination of cysteine and multivitamins caused the maximum loss of glutathione. Removing the cysteine prevented the degradation of glutathione. GSSG reacts with cysteine to form cysteine-glutathione disulfide, another suitable glutathione substrate for preterm neonates.

Evaluation of genetic diversity and management of disease in Border Collie dogs

Maintaining genetic diversity in dog breeds is an important consideration for the management of inherited diseases. We evaluated genetic diversity in Border Collies using molecular and genealogical methods, and examined changes to genetic diversity when carriers for Trapped Neutrophil Syndrome (TNS) and Neuronal Ceroid Lipofuscinosis (NCL) are removed from the genotyped population. Genotype data for 255 Border Collies and a pedigree database of 83,996 Border Collies were used for analysis. Molecular estimates revealed a mean multi-locus heterozygosity (MLH) of 0.311 (SD 0.027), 20.79% of the genome consisted of runs of homozygosity (ROH ) > 1 Mb, effective population size (Ne) was 84.7, and mean inbreeding (F) was 0.052 (SD 0.083). For 227 genotyped Border Collies that had available pedigree information (GenoPed), molecular and pedigree estimates of diversity were compared. A reference population (dogs born between 2005 and 2015, inclusive; N = 13,523; RefPop) and their ancestors (N = 12,478) were used to evaluate the diversity of the population that are contributing to the current generation. The reference population had a Ne of 123.5, a mean F of 0.095 (SD 0.082), 2276 founders (f), 205.5 effective founders (fe), 28 effective ancestors (fa) and 10.65 (SD 2.82) founder genomes (Ng). Removing TNS and NCL carriers from the genotyped population had a small impact on diversity measures (ROH > 1 Mb, MLH, heterozygosity), however, there was a loss of > 10% minor allele frequency for 89 SNPs around the TNS mutation (maximum loss of 12.7%), and a loss of > 5% for 5 SNPs around the NCL mutation (maximum 5.18%). A common ancestor was identified for 38 TNS-affected dogs and 64 TNS carriers, and a different common ancestor was identified for 33 NCL-affected dogs and 28 carriers, with some overlap of prominent individuals between both pedigrees. Overall, Border Collies have a high level of genetic diversity compared to other breeds.

Sensitivity of Performance Indexes to Disaster Risk

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and Foster-Hart performance index proposed by Kadan and Liu. These performance indexes provide evaluations sensitive to the underlying risk. We show, by numerical examples and empirical examples, how sensitive these indexes are to disaster risk. Although these indexes are known to be either quite sensitive or excessively sensitive to disaster risk or maximum loss in the literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively sensitive to maximum loss in representative stock data, which contain disastrous observations. The numerical estimate of the Foster-Hart performance index is found to be effective in showing the performance index. Our analysis suggests these indexes can handle various empirical data containing quite disastrous observations.