Estimasi Nilai Conditional Value at Risk Menggunakan Fungsi Gaussian Copula

Abstract

Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn't require the assumption of normal distribution. There fore it is suitable to be applied to financial data. To manage a risk the necessary measurement tools can help mitigate the risks. One measure that can be used to measure risk is Value at Risk (VaR). Although VaR is very popular, it has several weaknesses. To overcome the weakness in VaR, an alternative risk measure called CVaR can be used. The porpose of this study is to estimate CVaR using Gaussian copula. The data we used are the closing price of Facebook and Twitter stocks. The results from the calculation using 90% confidence level showed that the risk that may be experienced is at 4,7%, for 95% confidence level it is at 6,1%, and for 99% confidence level it is at 10,6%.

The Application of Gumbel Copula to Estimate Value at Risk With Backtesting in Telecommunication Stock

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“…Return is the profit or result obtained from an investment [6]. Return is the main reason investors invest because they make profit from their stocks.…”

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Pendekatan Copula – Conditional Value at Risk (CVaR) untuk Analisis Risiko Saham Perusahaan Sub Sektor Telekomunikasi

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