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All Journal Jurnal Manajemen STIE Muhammadiyah Palopo JIKA: Jurnal Ilmu Keuangan dan Perbankan Maker: Jurnal Manajemen KANGMAS: Karya Ilmiah Pengabdian Masyarakat Jurnal Valuasi : Jurnal Ilmiah Ilmu Manajemen dan Kewirausahaan Jurnal Ekonomi Jurnal Bina Bangsa Ekonomika International Journal of Multidisciplinary Research and Literature (IJOMRAL) Jurnal Pengabdian Masyarakat Formosa (JPMF) Jurnal Penelitian dan Pengabdian Masyarakat
Leni Triana
Program Studi Manajemen Dan Bisnis Universitas Bina Bangsa
Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Physics Public Health Social Sciences Other

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Journal : Jurnal Valuasi : Jurnal Ilmiah Ilmu Manajemen dan Kewirausahaan

 1 
PENGUKURAN VALUE AT RISK PADA ASET PERUSAHAAN DENGAN SIMULASI MONTE CARLO Yuliah; Leni Triana
Valuasi : Jurnal Ilmiah Ilmu Manajemen dan Kewirausahaan Vol. 1 No. 1 (2021): Jurnal Valuasi : Jurnal Ilmiah Ilmu Manajemen dan Kewirausahaan
Publisher : LP2M Universitas Bina Bangsa

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46306/vls.v1i1.4

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.  
Co-Authors Arta Rusidarma Putra Ihda Nadiyah Ihwan Satria Lesmana Ina Khadijah Irma Nurmala Dewi Mochamad Fahru Komarudin Nopianti, Rina Panudju, Andreas Tri Prastika Tjeng Suwandi Prastika Tjeng Suwandi Raden Irna Afriani Suhandi Suhandi Wahyu Widodo Yuliah Yuliah Yuliah Yuliah Yuliah