Analisis risiko pasar portofolio investasi saham dengan metode value at risk studi kasus pada dana pensiun RST = Market risk analysis portofolio investment value at risk model : case study in pension fund RST
| Main Authors: | Nurharyanto, author, Add author: Mochamad Muslich, supervisor, Add author: Manurung, Adler Haymans, 1961-, examiner, Add author: Rofikoh Rokhim, examiner |
|---|---|
| Format: | Masters Bachelors |
| Terbitan: |
Fakultas Ekonomi dan Bisnis Universitas Indonesia
, 2011
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| Subjects: | |
| Online Access: |
https://lib.ui.ac.id/detail?id=20284433 |
| ctrlnum |
20284433 |
|---|---|
| fullrecord |
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<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><type>Thesis:Masters</type><title>Analisis risiko pasar portofolio investasi saham dengan metode value at risk : studi kasus pada dana pensiun RST = Market risk analysis portofolio investment value at risk model : case study in pension fund RST</title><creator>Nurharyanto, author</creator><creator>Add author: Mochamad Muslich, supervisor</creator><creator>Add author: Manurung, Adler Haymans, 1961-, examiner</creator><creator>Add author: Rofikoh Rokhim, examiner</creator><publisher>Fakultas Ekonomi dan Bisnis Universitas Indonesia</publisher><date>2011</date><subject>Pension fund</subject><description>Model pengukuran risiko Value at Risk (VaR) saat ini telah digunakan secara luas, tidak hanya pada sektor perbankan. Tujuan karya akhir ini adalah untuk mengukur Value at Risk (VaR) dengan penekanan pada metodologi variance covariance dan historical simulation model, untuk menguji investasi 10 jenis saham yang dilakukan oleh Dana Pensiun RST.
Model digunakan untuk mengukur besarnya potensi kerugian dengan tingkat keyakinan 95%, dan divalidasi dengan menggunakan back testing dan Kupiec test.
Hasil penelitian menunjukkan bahwa terdapat perbedaan hasil pengukuran antara variance covariance dan historical simulation model. Hasil pengujian back testing dan Kupiec test menunjukkan bahwa kedua model valid untuk mengukur besarnya potensi kerugian maksimum saham.
<hr><i>Value at Risk (VaR) model has been extensively used not only in banking sector. The aim of this thesis is to outline Value at Risk methodology by giving more emphasis on variance covariance method and historical simulation model. The model is used to investigate the applicability and usefulness of VaR in stocks investment of Pension Fund RST.
Using the methodologies as described, the maximum potential loss of each stock and its portfolio of 10 stocks can be calculated at 95% confidence level. The models were validating using back testing and Kupiec test.
The research found that there was different result of VaR calculated using variance covariance and historical simulation model. However, variance covariance and historical simulation model are valid ones to measure maximum potential loss of stocks.</i></description><identifier>https://lib.ui.ac.id/detail?id=20284433</identifier><recordID>20284433</recordID></dc>
|
| format |
Thesis:Masters Thesis Thesis:Bachelors |
| author |
Nurharyanto, author Add author: Mochamad Muslich, supervisor Add author: Manurung, Adler Haymans, 1961-, examiner Add author: Rofikoh Rokhim, examiner |
| title |
Analisis risiko pasar portofolio investasi saham dengan metode value at risk : studi kasus pada dana pensiun RST = Market risk analysis portofolio investment value at risk model : case study in pension fund RST |
| title_sub |
studi kasus pada dana pensiun RST = Market risk analysis portofolio investment value at risk model : case study in pension fund RST |
| publisher |
Fakultas Ekonomi dan Bisnis Universitas Indonesia |
| publishDate |
2011 |
| topic |
Pension fund |
| url |
https://lib.ui.ac.id/detail?id=20284433 |
| contents |
Model pengukuran risiko Value at Risk (VaR) saat ini telah digunakan secara luas, tidak hanya pada sektor perbankan. Tujuan karya akhir ini adalah untuk mengukur Value at Risk (VaR) dengan penekanan pada metodologi variance covariance dan historical simulation model, untuk menguji investasi 10 jenis saham yang dilakukan oleh Dana Pensiun RST.
Model digunakan untuk mengukur besarnya potensi kerugian dengan tingkat keyakinan 95%, dan divalidasi dengan menggunakan back testing dan Kupiec test.
Hasil penelitian menunjukkan bahwa terdapat perbedaan hasil pengukuran antara variance covariance dan historical simulation model. Hasil pengujian back testing dan Kupiec test menunjukkan bahwa kedua model valid untuk mengukur besarnya potensi kerugian maksimum saham.
<hr><i>Value at Risk (VaR) model has been extensively used not only in banking sector. The aim of this thesis is to outline Value at Risk methodology by giving more emphasis on variance covariance method and historical simulation model. The model is used to investigate the applicability and usefulness of VaR in stocks investment of Pension Fund RST.
Using the methodologies as described, the maximum potential loss of each stock and its portfolio of 10 stocks can be calculated at 95% confidence level. The models were validating using back testing and Kupiec test.
The research found that there was different result of VaR calculated using variance covariance and historical simulation model. However, variance covariance and historical simulation model are valid ones to measure maximum potential loss of stocks.</i> |
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Universitas Indonesia |
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JAWA BARAT |
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2022-12-13T09:09:04Z |
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