Value at Risk (VaR) is a tool to predict the greater loss less than the certain confidence level over a period of time. Value at Risk Historical Simulation produce reliable value of VaR because of the historical data and measure the skewness of the observe data. So, Value at Risk well used by investors to determine the risk to be faced on their investment. To calculate VAR it is better to use maximum likelihood, which has been considered for estimating from historical data and also available for estimating nonlinear model. It is also a mathematic function that can approximate return. From the maximum likelihood function with normal distribution, we can draw the normal curve at one tail test. This research conducted to calculate Value at Risk using maximum likelihood. The normal curve will be compared with data return at each bank (Bank Mandiri, Bank BRI and Bank BNI). Empirical results demonstrated that Bank BNI in 2009, Bank BRI in 2010 and Bank BNI in 2011, had less value of VaR by historical simulation in each year. It is concluded that by using maximum likelihood method in the estimation of VaR, has certain appropriates compared with the normal curve.

Market risk measurement of bank investment portfolios is a still problem not only among practitioners, but  also among academicians. The accuracy and quality of market risk disclosures are important issues because  transparency of the bank risk level encourages market control in the form of market discipline and it also  improve the quality of risk management carried out internally by the bank. This research measures the quality of Value at Risk disclosures carried out by Indonesian banks. The accuracy of Value at Risk in this research is measured from the Value at Risk component which contains information of yield volatility of bank trading treasury activities. To measure Value at Risk disclosure, this research runs various methods of Value at Risk measurement. This research shows Historical Simulation is a Value at Risk method that is most widely used by Indonesia banks. The empirical test results show that the Value at Risk parametric method using asymmetric volatility have better quality than the Value at Risk Historical Simulation method. This research shows that Value at Risk as measured by Historical Simulation method contains the least information of bank trading treasury yields. Keywords: value at risk; disclosure; market risk; volatility