Unisda Journal of Mathematics and Computer Science (UJMC)
Vol 3 No 1 (2017): Unisda Journal of Mathematics and Computer Science

PERHITUNGAN VALUE AT RISK (VaR) DENGAN SIMULASI MONTE CARLO (STUDI KASUS SAHAM PT. XL ACIATA.Tbk)

Siti Alfiatur Rohmaniah (Universitas Islam Darul 'Ulum Lamongan)

Article Info

Publish Date
01 Jun 2017

Abstract

Value at Risk (VaR) can be simply defined as an estimate of the maximum potential loss under the normal market conditions at a specific time period and with the specific confidence level. For the calculation can be done by various methods including VaR parametric estimates. VaR is calculated by simulating the properties of the risk factors and the value of assets by raising the sequence of random asset prices at the T time, given the value of asset prices sample with time t where T> t.

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Journal Info
Unisda Journal of Mathematics and Computer Science (UJMC)
Website

Abbrev

ujmc

Publisher

Universitas Islam Darul Ulum

Subject

Computer Science & IT Education Mathematics

Description

Unisda Journal of Mathematics and Computational Science (UJMC) is a research journal published by Mathematics Department of Mathematics and Natural Sciences Unisda Lamongan with the scope of pure mathematics, applied science, education, ...