Jurnal Ekonomi dan Bisnis
Vol. 1 No. 5 (2023): Oktober

ANALISIS VALUE AT RISK (VAR) DENGAN METODE HISTORIS DAN MONTE CARLO DALAM HARGA SAHAM SUB SEKTOR BANK

Arizal Tursina (Fakultas Ekonomi dan Bisnis Universitas Ibn Khaldun Bogor, Indonesia)
Renea Shinta Aminda (Fakultas Ekonomi dan Bisnis Universitas Ibn Khaldun Bogor, Indonesia)
Immas Nurhayati (Fakultas Ekonomi dan Bisnis Universitas Ibn Khaldun Bogor, Indonesia)



Article Info

Publish Date
04 Oct 2023

Abstract

This study aims to determine the results of Value at Risk in the Bank Sub-Sector Stock Prices using the Historical Simulation and Monte Carlo Simulation methods for the 2019-2022 period. This research uses a descriptive quantitative research approach, and the data used is secondary data with data sources coming from www. .finance.yahoo.com. The population used in this study were companies whose shares were listed on the Indonesian Stock Exchange (IDX) and companies included in the IDX with a sampling of 5 companies namely BBCA, BTPN, BMRI, BBNI and BBRI Bank Companies. Based on the results of the test analysis, it shows that the company that has the highest risk VaR level in the Historical Method and the Monte Carlo Simulation Method is PT Bank Tabungan Pensiunan Nasional Tbk and the smallest is PT Bank Central Asia Tbk.

Copyrights © 2023






Journal Info

Abbrev

home

Publisher

Subject

Economics, Econometrics & Finance

Description

Jurnal Ekonomi dan Bisnis adalah jurnal yang menerbitkan hasil penelitian, baik kajian teori maupun lapangan, baik secara umum maupun secara khusus yang berkaitan dengan bidang ekonomi dan ...