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All Journal EkoBis ( Ekonomi & Bisnis ) Jurnal Ilmu Manajemen (JIM) Jurnal Keuangan dan Perbankan Journal The Winners Media Trend: Berkala Kajian Ekonomi dan Studi Pembangunan JBTI : Jurnal Bisnis : Teori dan Implementasi JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi) Jurnal DISPROTEK Owner : Riset dan Jurnal Akuntansi MABIS: Manajemen dan Bisnis Prosiding Seminar Nasional Multidisiplin Ilmu International Journal of Business, Humanities, Education and Social Sciences (IJBHES) Entrepreneurship Bisnis Manajemen Akuntansi (E-BISMA) Telaah Bisnis Indonesian Journal of Business Analytics (IJBA) Jurnal Ilmu Manajemen & Ekonomika Journal of Applied Economics in Developing Countries
Tri Gunarsih
Universitas Teknologi Yogyakarta
Agriculture, Biological Sciences & Forestry Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Social Sciences Other

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Journal : JBTI : Jurnal Bisnis : Teori dan Implementasi

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VALUE-AT-RISK ANALYSIS IN RISK MEASUREMENT AND FORMATION OF OPTIMAL PORTFOLIO IN BANKING SHARE Putri Endah Astuti; Tri Gunarsih
JBTI : Jurnal Bisnis : Teori dan Implementasi Vol 12, No 2 (2021): August 2021
Publisher : Universitas Muhammadiyah Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/jbti.v12i2.12263

Abstract

This study analyzes the application of Value at Risk (VaR) in estimating the risk of investment in banking stocks and the formation of an optimal portfolio using the Mean-VaR method based on the Markowitz approach. Many studies show that market data are often abnormal and make the assumption of normality considered irrelevant. This is the background of research on VaR using the historical simulation method, which is a method that moves away from the concept of normality. In addition, the crisis due to the Covid-19 pandemic makes the market difficult to predict. The period used in this study is during a normal market and a crisis (covid-19 pandemic). VaR is calculated with a holding period (t) of one week and a confidence level of 95%. Based on the backtesting test, the historical simulation method is accepted as an accurate method in estimating the VaR value in both normal and crisis periods. The optimal portfolios formed based on the mean-VaR are Portfolio-1 (normal period) and Portfolio-2 (crisis period). The composition of Portfolio-1 is BBRI, BBCA, BNLI, BTPN, and BNBA with the optimal proportion of each share sequentially of (18.35%), (23.90%), (11.39%), (18.63 %), and (27.73%). The VaR value of Portfolio-1 is -0.0107. The composition of Portfolio-2 is BNII and BNBA with optimal proportions of each share (22.71%) and (77.29%). The VaR value of Portfolio-2 is -0.0354. The results of this study can be used by investors as a reference in making investment decisions that focus on downside risk.
Co-Authors Anggun Septina Lukitasari Astri Wening Perwitasari Bambang Hartadi Eka Maya Sari Etty Puji Lestari Eva Nurul Ramdiani Fran Sayekti Gunawan, Jhoni Jhoni Gunawan Julia Safitri Lilis Endang Wijayanti Melawati Mirna Indah Nurlita Nur Wening Oki Ragil Wardana Prasasti, Ponco Adityia Priska Ralna Eunike Culata Priska Ralna Eunike Culata, Priska Ralna Eunike Putri Endah Astuti Rahmat Nurseha Tubagus Ristianawati Dwi Utami, Ristianawati Dwi Saefudin Saefudin Santosa Budi Raharjo Sari, Eka Maya Septi Diana Sari, Septi Diana Setiyono Setiyono Setiyono Setiyono Tamas Novak Tamas Novak Tanti Febi Setiawan Triana Aryanti Try Wahyuny Wahyu Widiastuti Wulan Handayani