Article Per Year (5 Year)
p-Index From 2019 - 2024
0.61
P-Index
This Author published in this journals
All Journal Kajian Ilmiah Mahasiswa Manajemen JURNAL LENTERA : Kajian Keagamaan, Keilmuan dan Teknologi Journal on Education TANJAK: Journal of Education and Teaching
TUTIK HARYANTI
Unknown Affiliation
Religion Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Other

Published : 4 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search
Journal : Kajian Ilmiah Mahasiswa Manajemen

 1 
KONSISTENSI PENGUKURAN VALUE AT RISK JANGKA PENDEK DAN JANGKA PANJANG PADA SAHAM PERBANKAN PAPAN ATAS DALAM INDEX LQ45 PERIODE 1 AGUSTUS 2007 – 1 AGUSTUS 2012 HARYANTI, TUTIK
Kajian Ilmiah Mahasiswa Manajemen Vol 2, No 3 (2013)
Publisher : Kajian Ilmiah Mahasiswa Manajemen

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (126.498 KB)

Abstract

Investment always has a risk, Value at Risk (VAR) is the concept standard for measuring market risk. VAR measures the worst expected maximum loss over a specific time interval at a given confidence level. A VAR calculation has three components must be considered: a time period, a confidence level and volatility. Time and confidence level affects the computation, now the question, are consistent historical simulation method for calculating the risk of shortterm and long-term? This paper research monthly VAR Indonesian exchange stock for observe consistency, 1 and 2 represent the short-term 3-year representing the medium and long term representing 5 years at confidence level 95% and 90%. And as the sample is banking stock index LQ 45 is Bank Central Asia Tbk, Bank Negara Indonesia (Persero), Bank Rakyat Indonesia (Persero), Bank Danamon Indonesia Tbk, and Bank Mandiri (Persero) Tbk. The result of this research is the single asset. Short, medium and long term VAR consistent at confident level 95% but not VAR 90 % does not fit at short and long term. This means confident levels affect the consistency VAR simulation histories calculation method.
Co-Authors Abu Anwar Andi Murniati Karim, M. Nazir M, Amril