Operations Research: International Conference Series
Vol 1, No 1 (2020)

Calculation of Value-at-Risk Variance-Covariance with the Approach of Simple Cash Portfolio, Factor Models and Cash Flow

Puspa Liza Ghazali (Unknown)
Riaman Riaman (Unknown)
Ristifani Ulfatmi (Unknown)



Article Info

Publish Date
05 Feb 2020

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.  

Copyrights © 2020






Journal Info

Abbrev

Orics

Publisher

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Mathematics

Description

Operations Research: International Conference Series (ORICS) is published 4 times a year and is the flagship journal of the Indonesian Operational Research Association (IORA). It is the aim of ORICS to present papers which cover the theory, practice, history or methodology of OR. However, since OR ...