Andini, Laras Fajar (2017) VALUE AT RISK (VaR) PORTFOLIO DENGAN PENDEKATAN EKSPANSI CORNISH-FISHER : Studi Kasus : Portfolio Saham INDF.JK, KLBF.JK, MYOR.JK). S1 thesis, Universitas Pendidikan Indonesia.
Abstract
Dunia investasi sangat erat kaitannya dengan istilah Value At Risk atau kemungkinan kerugian maksimum. Value At Risk (VaR) dengan pendekatan Ekpansi Cornish-Fisher merupakan metode yang tidak bergantung pada distribusi data. Metode ini sangat memperhatikan distribusi riil dari nilai return saham. Proses perhitungan VaR pendekatan Ekpansi Cornish-Fisher melibatkan nilai momen pertama, momen kedua, momen ketiga, momen keempat, nilai drift, nilai volatility, serta nilai kuantil batas bawah. Berdasarkan perhitungan dengan program aplikasi VaR pedekatan Ekspansi Cornish-Fisher untuk portfolio saham, maka diperoleh hasil bahwa untuk saham INDF.JK investor diperkirakan mengalami kerugian maksimum sebesar 140.43%. Sedangkan untuk saham KLBF.JK investor diperkirakan mengalami kerugian maksimum sebesar 166.84%. Pada saham MYOR.JK diperkirakan kerugian maksimum yang diperoleh investor sebesar 60942.92%.,---World of investment has closely related with Value At Risk maximum risk). Value At Risk (VaR) with Cornish-Fisher Expansion approach, not depends with kind of data distribution. This method took attention more in the kind of return data distribution. Process calculation Value At Risk Cornish-Fisher Expansion approach involve with first moment value, second moment value, drift value, volatility value, and lower bond quartile value. Based on calculation of VaR with application program, there is an estimation of INDF.JK stock market, investor can get maximum loss 140.43%. Estimation of KLBF.JK stock market, investor can get maximum loss 166.84%. Estimation of MYOR.JK stock market, investor can get maximum loss 60942.92%.
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| Item Type: | Thesis (S1) |
|---|---|
| Additional Information: | No.panggil : S MAT AND v-2017; Pembimbing : I. Fitriani Agustina II. Rini Marwati |
| Uncontrolled Keywords: | Value At Risk, Cornish-Fisher Expansion, Distribution, Return, Moment, Drift, Volatility, Stock Market, Ekspansi Cornish-Fisher, Distribusi, Return, Momen, drift, volatility, Saham. |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Program Studi Matematika - S1 |
| Depositing User: | Mr mhsinf 2017 |
| Date Deposited: | 15 Mar 2018 02:43 |
| Last Modified: | 15 Mar 2018 02:43 |
| URI: | http://repository.upi.edu/id/eprint/29802 |
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