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All Journal ESTIMASI: Journal of Statistics and Its Application
Najiha Alimatun
a:1:{s:5:"en_US";s:21:"Hasanuddin University";}
Mathematics

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Nilai Risiko Terkondisi pada Return Finansial Menggunakan Metode Copula Gumbel Najiha Alimatun; Anisa Anisa; Andi Kresna Jaya
ESTIMASI: Journal of Statistics and Its Application Vol. 3, No. 1, Januari, 2022 : Estimasi
Publisher : Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/ejsa.vi.12246

Abstract

The calculation of VaR is assumed normal distribution while the conditions in the real world distribution conditions of the return value depends on the market conditions that occurred at the time. Thus, this makes VaR estimates invalid which results in portfolio risk occurring greater than the predetermined risk. Therefore, In this study, the estimated risk value uses the Conditional Value at Risk (CVaR), which measures the expected value depending on what is the worst percentage of the risk loss, and using Copula Gumbel to model financial return in the investment data of PT. Telkomunikasi Indonesia tbk and PT. XL Axiata tbk. for the period March 11, 2019 to March 10, 2020. In this study, the CVaR estimation results for the 99% confidence level is 0.231, while for the VaR estimate it is 0.192. This indicates that risk value with CVaR estimate is better able to show higher risk than VaR.
Co-Authors Andi Kresna Jaya Anisa Anisa