Equity Risk Management: Identification and Measurement Using the Value at Risk (VaR)- Variance-Covariance Method
DOI:
https://doi.org/10.22441/indikator.v10i1.39159Keywords:
Risk Management, Value at Ris (vaR), Portofolio, Variance CovarianceAbstract
The capital market is one of the investment instruments that provides profit opportunities as well as contains risks due to price fluctuations in the market. The purpose of this analysis is to measure the risk level of the portfolio and estimate the maximum potential loss using the Value at Risk (VaR) method with the Variance-Covariance approach. The method used is quantitative descriptive with the object in the form of a portfolio consisting of a combination of ICBP, ASII, and BBCA shares as a representation of diversification across sectors. The results of the analysis show that the portfolio has a return of -0.004 with a standard deviation of 1.48% which indicates a less than optimal performance but with a relatively stable fluctuation level. In addition, the result of the Value at Risk (VaR) calculation at a 95% confidence level shows a potential loss of 2,82% or around Rp28,176,234 from the total investment value of Rp1,000,000,000. This shows that portfolio risk is still at a predictable and well-managed limit. Thus, risk management through diversification and VaR measurement is important in maintaining the stability of investment value.
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