VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA
Value at Risk (VaR) is a risk measurement tool to calculate the estimated maximum investment loss with a certain confidence level and period. VaR calculations using financial data are often not normally distributed, so the copula method is used, which is flexible on the assumption of normality on st...
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Universitas Pattimura
2023-09-01
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| Series: | Barekeng |
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| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/9030 |
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| author | Tiffany Ardhitha Evy Sulistianingsih Neva Satyahadewi |
| author_facet | Tiffany Ardhitha Evy Sulistianingsih Neva Satyahadewi |
| author_sort | Tiffany Ardhitha |
| collection | DOAJ |
| description | Value at Risk (VaR) is a risk measurement tool to calculate the estimated maximum investment loss with a certain confidence level and period. VaR calculations using financial data are often not normally distributed, so the copula method is used, which is flexible on the assumption of normality on stock return data. Previous research discussed Gaussian copula using stocks from the telecommunications sector. In this research, using Gaussian copula on Blue Chip stocks. Blue Chip stocks have a good reputation and have a stable growth rate so they have a lower risk. Therefore, the research objective is to analyze the VaR portfolio of Blue Chip stock with Gaussian copula. This research uses the daily stock closing prices of BBNI and BBTN from November 2, 2020 to October 27, 2022. The analysis results suggested that a VaR portfolio using Gaussian copula with a confidence level of 90%, 95%, and 99%, respectively are 2.24%, 2.88%, and 4.02%. The value shows the percentage of investment risk that may be obtained in the next one-day period. This result also indicates that the higher the confidence level, the greater the VaR. |
| format | Article |
| id | doaj-art-7d99b9b066f64ac88e7eebe6ea5e4bbe |
| institution | Kabale University |
| issn | 1978-7227 2615-3017 |
| language | English |
| publishDate | 2023-09-01 |
| publisher | Universitas Pattimura |
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| series | Barekeng |
| spelling | doaj-art-7d99b9b066f64ac88e7eebe6ea5e4bbe2025-08-20T04:00:55ZengUniversitas PattimuraBarekeng1978-72272615-30172023-09-011731739174810.30598/barekengvol17iss3pp1739-17489030VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULATiffany Ardhitha0Evy Sulistianingsih1Neva Satyahadewi2Department of Mathematics, Tanjungpura University, IndonesiaDepartment of Mathematics, Tanjungpura University, IndonesiaDepartment of Mathematics, Tanjungpura University, IndonesiaValue at Risk (VaR) is a risk measurement tool to calculate the estimated maximum investment loss with a certain confidence level and period. VaR calculations using financial data are often not normally distributed, so the copula method is used, which is flexible on the assumption of normality on stock return data. Previous research discussed Gaussian copula using stocks from the telecommunications sector. In this research, using Gaussian copula on Blue Chip stocks. Blue Chip stocks have a good reputation and have a stable growth rate so they have a lower risk. Therefore, the research objective is to analyze the VaR portfolio of Blue Chip stock with Gaussian copula. This research uses the daily stock closing prices of BBNI and BBTN from November 2, 2020 to October 27, 2022. The analysis results suggested that a VaR portfolio using Gaussian copula with a confidence level of 90%, 95%, and 99%, respectively are 2.24%, 2.88%, and 4.02%. The value shows the percentage of investment risk that may be obtained in the next one-day period. This result also indicates that the higher the confidence level, the greater the VaR.https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/9030portfoliovalue at riskgaussian copulablue chip |
| spellingShingle | Tiffany Ardhitha Evy Sulistianingsih Neva Satyahadewi VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA Barekeng portfolio value at risk gaussian copula blue chip |
| title | VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA |
| title_full | VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA |
| title_fullStr | VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA |
| title_full_unstemmed | VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA |
| title_short | VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA |
| title_sort | value at risk analysis on blue chip stocks portfolio with gaussian copula |
| topic | portfolio value at risk gaussian copula blue chip |
| url | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/9030 |
| work_keys_str_mv | AT tiffanyardhitha valueatriskanalysisonbluechipstocksportfoliowithgaussiancopula AT evysulistianingsih valueatriskanalysisonbluechipstocksportfoliowithgaussiancopula AT nevasatyahadewi valueatriskanalysisonbluechipstocksportfoliowithgaussiancopula |