| dc.contributor.author | NOVITASARI, DIAH | |
| dc.contributor.author | PRIBADI, FIRMAN | |
| dc.date.accessioned | 2016-09-27T11:28:11Z | |
| dc.date.available | 2016-09-27T11:28:11Z | |
| dc.date.issued | 2016-01-15 | |
| dc.identifier.uri | http://repository.umy.ac.id/handle/123456789/3068 | |
| dc.description | Impelementasi VaR dalam menghitung risiko investasi | en_US |
| dc.description.abstract | Value at Risk is one measure used to measure the maximum potential loss that will be experienced in the
period of a day, five days and twenty days. In this study, the methodology used is Variance Covariance models and
Historical models. Object of research include 6 shares for 3 consecutive years (2012 to 2014) was recorded on LQ
45. Potential losses are measured on a confident level of 95%. And this validity model was tested by conducting
back testing with Kupiec Test, where the potential maximum loss calculation results compared with a loss actually
occurred. Back test measurement results indicate that the potential loss of Variance Covariance model is smaller
than the Historical models, but both models are declared valid in measuring the potential maximum loss of LQ 45. | en_US |
| dc.description.sponsorship | Pasca Sarjana - MM Universitas Muhammadiyah Yogyakarta | en_US |
| dc.publisher | The National and International Graduate Research Conference 2016 - Khon Kaen University Thailand | en_US |
| dc.subject | Value at risk | en_US |
| dc.subject | Variance covariance | en_US |
| dc.subject | Back testing | en_US |
| dc.title | IMPLEMENTATION OF VALUE AT RISK IN LQ 45 STOCKS IN INDONESIA | en_US |
| dc.type | Article | en_US |
