Analisis Value at Risk pada Portofolio Saham PT. Adaro Energy Tbk dan PT. Bukit Asam Tbk Menggunakan Metode Copula Archimedean
Keywords:
Backtesting, Archimedean Copula, Risk, Stock, Value at RiskAbstract
Value at Risk (VaR) is statistical method used in risk analysis in stock investments. Stock returns that are not normally distributed cause the risk calculation to be less precise, so to overcome this, the copula method can be used. Copula is a method based on dependencies between variables. The most commonly known copula family is the Archimedean copula which consists of the Clayton, Frank, and Gumbel copula. VaR is expected to be a feasible method to use, so it is important to perform backtesting. In this research, we use data on the daily closing price of PT. Adaro Energy Tbk and PT. Bukit Asam Tbk May 11, 2020 until June 15, 2022. The best copula based on the smallest Empirical copula value is Frank copula. VaR estimates for the 90%, 95%, and 99% confidence levels respectively were 2.688%, 3.545%, and 5.014%. The higher the confidence level, the VaR value is also higher. Based on backtesting results, VaR with Frank copula method is valid at 90%, 95%, and 99% confidence levels.
References
Matoviany, M. A. & Firmansyah, A. Kepemilikan Investasi Obligasi Perusahaan Perbankan di Indonesia: Dampak Penerapan PSAK 71. Jurnal Financial and Tax, 1(1):11-32, 2021.
Best, P. Implementing Value at Risk. Chichester: John Wiley & Sons Ltd. 1998.
Prihatiningsih, D. R., Maruddani, D. A. I. & Rahmawati, R. Value at Risk (VaR) dan Conditional Value at Risk (CVaR) dalam Pembentukan Portofolio Bivariat Menggunakan Copula Gumbel. Jurnal Gaussian, 9(3):326-335, 2020.
Anaviroh & Effendie, A. R. Pemodelan Copula Clayton untuk Prediksi Klaim pada Data Longitudinal dengan Excess Zeros. Unisda Journal Mathematics and Computer Science, 1(10):1-10, 2015.
Agustini, S. W., Hadijati, M. & Fitriyani, N. Analisis Dependensi Faktor Makroekonomi terhadap Tingkat Harga Emas Dunia dengan Pendekatan Copula. Eigen Mathematics Journal, 2(2):82-91, 2019.
Mashuri. Backtesting pada Value at Risk dengan Model Pendekatan Lopez dan Blanco-Ihle. Jurnal Konvergensi, 3(2):1-8, 2013.
Syariah & Pratiwi, N. Pengukuran Value at Risk (VaR) Portofolio Optimal pada Investasi Saham Bank Badan Usaha Milik Negara (BUMN) Menggunakan Metode Varian-Covarian dan Metode Simulasi Monte Carlo. Jurnal Statistika Industri dan Komputasi, 5(1):1-10, 2020.
Yulia. Analisis Pengaruh Rasio Likuiditas terhadap Return Saham. Jurnal Khatulistiwa Informatika, 4(2):192-204, 2016.
Handini, J. A., Maruddani, D. A. I. & Safitri, D. Copula Frank pada Value at Risk (VaR) Portofolio Bivariat. Jurnal Gaussian, 7(3):293-302, 2018.
Nelsen, R. B. An Introduction to Copulas. New York: Springer. 2006.
Damayanti. Estimasi Nilai Conditional Value at Risk Menggunakan Fungsi Archimedian Copula. Skripsi: Universitas Islam Negeri Alaudin, Makassar. 2018.
Chvosta, J., Erdman, D. J. & Little, M. Modeling Financial Risk Factor Correlation with the Copula Procedure. SAS Global Forum 2011 Statistics and Data Analysis, 1-14, 2011.
Jorion, P. Value at Risk: The New Benchmark for Managing Financial Risk, Third edition. McGraw-Hill, New York. 2007.
Pradana, D. C., Maruddani, D. A. I. & Yasin, H. Penggunaan Simulasi Monte Carlo untuk Pengukuran Value at Risk Aset Tunggal dan Portofolio dengan Pendekatan Capital Asset Pricing Model sebagai Penentu Portofolio Optimal (Studi Kasus: Index Saham Kelompok SMinfra18). Jurnal Gaussian, 4(4):765-774, 2015.
Downloads
Published
Issue
Section
License
Copyright
It is the author's responsibility to ensure that his or her submitted work does not infringe any existing copyright. Authors should obtain permission to reproduce or adapt copyrighted material and provide evidence of approval upon submitting the final version of a manuscript.
