A Comparative Analysis of the Accuracy of the Value at Risk Estimation Methods on Indonesian Banking Stocks
DOI:
https://doi.org/10.20956/a1t1yd15Keywords:
Value at Risk, Variance-Covariance, Historical Simulation, Monte Carlo SimulationAbstract
Risk measurement is an important aspect in investment decision-making in the capital market. This study aims to compare the performance of three Value at Risk methods, namely Variance–Covariance, Historical Simulation, and Monte Carlo Simulation, in estimating investment risk in the shares of PT. Bank Negara Indonesia (Persero) Tbk. (BBNI.JK), and PT. Bank Rakyat Indonesia (Persero) Tbk. (BBRI.JK). The study used daily closing price data for the period April 30, 2024, to April 30, 2025, were analyzed through return calculation, Kolmogorov–Smirnov normality test, VaR estimation at a confidence level of 95%, and model validation using Kupiec Backtesting. The results of the study showed that the three methods produced relatively consistent VaR estimates, with the VaR value of BBNI.JK shares being greater than BBRI.JK, which indicates a higher level of investment risk. The results of backtesting show that all methods meet the validity criteria and are therefore suitable for use in risk measurement. This study shows that the selection of the Value at Risk method needs to be adjusted to the characteristics of the return distribution and the objectives of risk analysis.
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