PERHITUNGAN VALUE at RISK PORTOFOLIO DENGAN MODEL EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA)
Total View This Week0

Institusion

Universitas Katolik Musi Charitas

Author

Marceau, Yoshie Regina

Subject

H Social Sciences (General) 

Datestamp

2022-05-13 12:12:02 

Abstract :
This research concerning the calculation of the value at risk by measuring the maximum loss that will be experienced in the first months, 5 months and 9 months. EWMA model is used for the data return from the stock index tends to be heteroskedastis. The research object covering 10 stocks that consistently for three years and recorded in LQ45 and has been elected from the average - average positive return. The results showed that the portfolio can provide expectations for returns of 1,165% to 4,676% risk level. With two different exposure values, namely Rp. 100 million and the price of each - each share at the end of the study period. It is known that the greater the exposure value, the greater the value of VaR. Keywords : Value at Risk, Portofolio, EWMA 

File :
EA-2016-121221-Cover.pdf
EA-2016-121221-Abstract.pdf
EA-2016-121221-Complete.pdf
EA-2016-121221-Summary.pdf
EA-2016-121221-Tabelofcontent.pdf
EA-2016-121221-Chapter1.pdf
EA-2016-121221-Chapter2.pdf
EA-2016-121221-Chapter3.pdf
EA-2016-121221-Chapter4.pdf
EA-2016-121221-Conclusion.pdf
EA-2016-121221-Reference.pdf
EA-2016-121221-Attachment.pdf