METODE SIMULASI HISTORIS UNTUK PERHITUNGAN NILAI VALUE AT RISK PADA PORTOFOLIO DENGAN MODEL MARKOWITZ

I Wayan Eka Sultra; Muhammad Rifai Katili; Muhammad Rezky Friesta Payu

doi:10.34312/euler.v9i2.11518

METODE SIMULASI HISTORIS UNTUK PERHITUNGAN NILAI VALUE AT RISK PADA PORTOFOLIO DENGAN MODEL MARKOWITZ

I Wayan Eka Sultra, Muhammad Rifai Katili, Muhammad Rezky Friesta Payu

Abstract

A portfolio concerns the formation of the composition of multiple assets to obtain optimum results. At the same time, Value at Risk is a technique in risk management to measure and assess parametrically (variant and co-variant), Monte-Carlo, and historical simulation. This research employed historic simulation because normal distribution is not required from returns and is a Value at Risk calculation model that is determined by the past value on produced return asset, in which this research aimed to determine the Markowitz model positive shares and Value at Risk in the portfolio by using historical simulation. The Markowitz model found eight shares with positive expected returns, which are as follows: BBCA, BBRI, BRPT, EXCL, ICBP, INDF, MNCN, and TPIA. The BBCA has the most significant exposure of all the shares with the amount of Rp 2.287.200.440.000, while the TPIA has the smallest exposure of all the shares with the amount of Rp 58.899.375.000. Further, the EXCL has the largest VaR with the amount of Rp 236.189.538.497, while the TPIA and ICBP had no VaR losses because the VaR of TPIA and ICBP is Rp 0 and Rp -1.407.719.893, respectively, along with the INDF as the share with the smallest VaR of Rp 18.513.213.620. The most significant exposure average is Rp 719.246.318.375, while the largest VaR average is Rp 76.827.608.341,3. As long as the VaR did not exceed the exposure value, the investors will be safe and have no loss.

Keywords

Value at Risk; Historical Simulation; Markowitz; Exposure

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DOI: https://doi.org/10.34312/euler.v9i2.11518