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      •   UMY Repository
      • 03. DISSERTATIONS AND THESIS
      • Students
      • Master Thesis
      • Master of Management
      • View Item
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      PENERAPAN METODE VALUE AT RISK DALAM ANALISIS RISIKO PADA PORTOFOLIO SAHAM

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      BAB II (572.8Kb)
      BAB III (634.9Kb)
      BAB IV (891.5Kb)
      BAB V (30.39Kb)
      DAFTAR PUSTAKA (310.3Kb)
      COVER (21.54Kb)
      LAMPIRAN (2.472Mb)
      Date
      2018
      Author
      NURSASRILA PASARIBU, ANDRIANI
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      Abstract
      This study aims to analyze the optimal portfolio by using Single Index Model and analyze the level of losses that might occur in the optimal portofolio with the Value at Risk-Variance Covariance method. The stocks were used in this study are stocks in the LQ45 industry listed on the Indonesia Stock Exchange for 4 consecutive periods from 2016-2017. Sampling in this study using purposive sampling method and 36 stocks were selected for meet the criteria and then obtained 20 stocks that form an optimal portfolio with a single index model. Potential losses are measured on a confident level of 95%. Total exposure value of 15 portofolio is 1.000.000.000 billion. The biggest lost that will happen in one day is 36.820.956 billion, for five days is 82.331.657 billion, and for twenty days is 164.666.997 billion. And the validity model was tested by conducting backtesting with Kupiec Test, where the potential maximum loss indicate that. Based on the result of LR test, with total value on failed result is 13 and the value of LR result is 0,694 smaller than Chi Square Critical Value. The potential loss of Variance Covariance declared valid in measuring the potential maximum loss of optimal portofolio in the LQ45. Keywords: risk, optimal portofolio, single index model, value at risk, variance covariance
      URI
      http://repository.umy.ac.id/handle/123456789/22436
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      • Master of Management

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