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All Journal Operations Research: International Conference Series
Ristifani Ulfatmi
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Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Mathematics

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Calculation of Value-at-Risk Variance-Covariance with the Approach of Simple Cash Portfolio, Factor Models and Cash Flow Puspa Liza Ghazali; Riaman Riaman; Ristifani Ulfatmi
Operations Research: International Conference Series Vol 1, No 1 (2020)
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v1i1.20

Abstract

One way to calculate Value-at-Risk (VaR) is the variation-covariance method. The calculation of VaR covariance assumes stock data is normally distributed. The data needed to calculate VaR by the variance-covariance method is the covariance matrix of Bank Danamon and Bank Mandiri stock data. The main topics discussed in this paper are calculating VaR covariance with a simple cash portfolio approach, factor models and cash flow. For comparison of the use of the three approaches Backtesting, the backtest results indicate that the factor model is the best method.  
Co-Authors Puspa Liza Ghazali Riaman Riaman