Analisis value at risk (VAR) pada saham sektor perdagangan ritel barang konsumsi dengan simulasi Monte Carlo
Muhammad Raihan Rafly Singadipoera,
Vera Intanie Dewi
Abstract:Measuring the risk of an asset aims to mitigate risk and make investment decisions. This study aims to calculate risk using the Value at Risk (VAR) Monte Carlo simulation in the consumer goods retail trade sub-sector. After calculating the risk using Value at Risk (VAR), Backtesting using the Kupiec Test method to validate the computed Value at Risk (VAR) value. The objects studied are ten shares of the consumer goods retail trade sub-sector listed on the IDX for 2020 to 2021. The result of calculating the hig… Show more
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