{"title":"PENGUKURAN VALUE AT RISK PADA ASET PERUSAHAAN DENGAN SIMULASI MONTE CARLO","authors":"Yuliah, Leni Triana","doi":"10.46306/VLS.V1I1.4","DOIUrl":null,"url":null,"abstract":"This research aims to measure the Value at Risk (VaR) at corporate assets PT Telekomunkasi Indonesia Tbk (TLKM) and PT Bank Mandiri (BMRI) and portofolios that can be formed by the two assets using Monte Carlo simulation method. The data used of daily closing price a period 1 January 2012 to December 2019. The result shows that the VaR value with stand alone risk of TLKM stock with the Monte Carlo Method is 24% and the VaR Value of BMRI stock is 26,5%, BMRI gives the greater risk than TLKM. While the result of the VaR Value with portofolio risk with Monte Carlo method is 21,4%. The VaR with portofolio risk lower than the VaR with stand alone risk, it shows that the divercification can minimize the risk from investmen.\n ","PeriodicalId":30265,"journal":{"name":"Jurnal Manajemen dan Wirausaha","volume":"66 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Jurnal Manajemen dan Wirausaha","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.46306/VLS.V1I1.4","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
本研究旨在利用蒙特卡洛模拟法测量公司资产PT Telekomunkasi Indonesia Tbk (TLKM)和PT Bank Mandiri (BMRI)的风险价值(VaR)以及这两种资产可以形成的投资组合。使用的每日收盘价数据为2012年1月1日至2019年12月。结果表明,用蒙特卡罗方法计算的TLKM股票的独立风险VaR值为24%,BMRI股票的VaR值为26.5%,BMRI给出的风险大于TLKM。而用蒙特卡罗方法计算具有投资组合风险的VaR值为21.4%。有组合风险的VaR小于有独立风险的VaR,说明分散化可以使投资风险最小化。
PENGUKURAN VALUE AT RISK PADA ASET PERUSAHAAN DENGAN SIMULASI MONTE CARLO
This research aims to measure the Value at Risk (VaR) at corporate assets PT Telekomunkasi Indonesia Tbk (TLKM) and PT Bank Mandiri (BMRI) and portofolios that can be formed by the two assets using Monte Carlo simulation method. The data used of daily closing price a period 1 January 2012 to December 2019. The result shows that the VaR value with stand alone risk of TLKM stock with the Monte Carlo Method is 24% and the VaR Value of BMRI stock is 26,5%, BMRI gives the greater risk than TLKM. While the result of the VaR Value with portofolio risk with Monte Carlo method is 21,4%. The VaR with portofolio risk lower than the VaR with stand alone risk, it shows that the divercification can minimize the risk from investmen.