Credible Delta Normal Value at Risk for Risk Evaluation of European Call Option

Sulistianingsih, Evy; Rosadi, Dedi; khman, Abdura

doi:10.7232/iems.2023.22.1.020

Cited by 1 publication

(1 citation statement)

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“…These results indicate that the higher the level of confidence in investing funds, the higher the investment risk that will be obtained and the capital allocation used to cover losses. This result is in line with VaR research conducted by [19] [20].…”

Section: Value At Risk Portfoliosupporting

confidence: 93%

Value at Risk Analysis on Blue Chip Stocks Portfolio With Gaussian Copula

Ardhitha,

Sulistianingsih,

Satyahadewi

2023

BAREKENG: J. Math. & App.

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Value at Risk (VaR) is a risk measurement tool to calculate the estimated maximum investment loss with a certain confidence level and period. VaR calculations using financial data are often not normally distributed, so the copula method is used, which is flexible on the assumption of normality on stock return data. Previous research discussed Gaussian copula using stocks from the telecommunications sector. In this research, using Gaussian copula on Blue Chip stocks. Blue Chip stocks have a good reputation and have a stable growth rate so they have a lower risk. Therefore, the research objective is to analyze the VaR portfolio of Blue Chip stock with Gaussian copula. This research uses the daily stock closing prices of BBNI and BBTN from November 2, 2020 to October 27, 2022. The analysis results suggested that a VaR portfolio using Gaussian copula with a confidence level of 90%, 95%, and 99%, respectively are 2.24%, 2.88%, and 4.02%. The value shows the percentage of investment risk that may be obtained in the next one-day period. This result also indicates that the higher the confidence level, the greater the VaR.

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Section: Value At Risk Portfoliosupporting

confidence: 93%