PERHITUNGAN VALUE at RISK PORTOFOLIO DENGAN MODEL EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA)

Marceau, Yoshie Regina (2016) PERHITUNGAN VALUE at RISK PORTOFOLIO DENGAN MODEL EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA). Undergraduate thesis, Universitas Katolik Musi Charitas Palembang.

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Abstract

This research concerning the calculation of the value at risk by measuring the maximum loss that will be experienced in the first months, 5 months and 9 months. EWMA model is used for the data return from the stock index tends to be heteroskedastis. The research object covering 10 stocks that consistently for three years and recorded in LQ45 and has been elected from the average - average positive return. The results showed that the portfolio can provide expectations for returns of 1,165% to 4,676% risk level. With two different exposure values, namely Rp. 100 million and the price of each - each share at the end of the study period. It is known that the greater the exposure value, the greater the value of VaR.

Keywords : Value at Risk, Portofolio, EWMA

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Value at Risk ; Portofolio ; EWMA
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Theses - S1 > Accounting Study Program
Depositing User: Chatarinedesi Kurniawati
Date Deposited: 13 May 2022 12:12
Last Modified: 13 May 2022 12:12
URI: https://eprints.ukmc.ac.id/id/eprint/7802

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