Estimasi Value at Risk dalam Investasi Saham Subsektor Perbankan di Bursa Efek Indonesia dengan Pendekatan Extreme Value Theory

Rohmah, Salisa Minchatur (2017) Estimasi Value at Risk dalam Investasi Saham Subsektor Perbankan di Bursa Efek Indonesia dengan Pendekatan Extreme Value Theory. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Investasi di pasar modal merupakan salah satu cara alternatif untuk meningkatkan aset sebesar-besarnya di masa mendatang. Salah satu aset financial yang banyak diminati adalah investasi dalam bentuk saham. Pengukuran risiko merupakan hal yang sangat penting berkaitan dengan investasi dana yang cukup besar, sehingga investor diharapkan mampu mengestimasi tingkat risiko sebelum berinvestasi. Oleh karena itu diperlukan penelitian untuk menghitung tingkat risiko pada bidang keuangan. Metode yang dapat digunakan dalam menghitung risiko yaitu Value at Risk (VaR). Namun pada kenyataannya, data terkait bidang keuangan sering kali mengandung nilai-nilai ekstrem, sehingga diperlukan analisis lebih lanjut untuk mengatasi hal tersebut yaitu metode Extreme Value Theory (EVT). Pada penelitian ini, perhitungan tingkat risiko dilakukan dengan dua pendekatan EVT yaitu Block Maxima (BM) dan Peaks Over Threshold (POT). Diperoleh hasil tingkat risiko yang dihasilkan metode BM lebih besar dibanding tingkat risiko dari POT. Namun hasil backtesting menyatakan bahwa metode POT lebih akurat dibanding metode BM. ============================================================ Investing in capital markets is one of the alternative ways to increase maximum assets in the future. One of the most popular financial assets is investment in stocks. Measurement of risk is very important with regard to the investment of substantial funds, so that investors are expected to be able to estimate the level of risk before investing. Therefore, research is needed to calculate the level of risk in the financial field. Method that can be used in calculating risk is Value at Risk (VaR). However, in reality, data of financial often contain extreme values, so further analysis is needed to overcome this problem used Extreme Value Theory (EVT) method. In this study, the calculation of risk level is done by two approach of EVT that are Block Maxima (BM) and Peaks Over Threshold (POT). The result of this study of risk level generated by BM method is bigger than level of risk from POT. However, backtesting results suggest that the POT method is more accurate than the BM method.

Item Type: Thesis (Undergraduate)
Additional Information: RSSt 519.24 Roh e
Uncontrolled Keywords: Extreme Value Theory, Return Saham, Risiko, Value at Risk
Subjects: H Social Sciences > HJ Public Finance
Divisions: Faculty of Mathematics and Science > Statistics > (S1) Undergraduate Theses
Depositing User: Salisa Minchatur Rohmah
Date Deposited: 14 Feb 2018 02:53
Last Modified: 05 Mar 2019 08:25
URI: http://repository.its.ac.id/id/eprint/47880

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