Value-at-Risk Analysis in Risk Measurement and Formation of Optimal Portfolio in Banking Share

Abstract

This study analyzes the application of Value at Risk (VaR) in estimating the risk of investment in banking stocks and the formation of an optimal portfolio using the Mean-VaR method based on the Markowitz approach. Many studies show that market data are often abnormal and make the assumption of normality considered irrelevant. This is the background of research on VaR using the historical simulation method, which is a method that moves away from the concept of normality. In addition, the crisis due to the Covid-19 pandemic makes the market difficult to predict. The period used in this study is during a normal market and a crisis (covid-19 pandemic). VaR is calculated with a holding period (t) of one week and a confidence level of 95%. Based on the backtesting test, the historical simulation method is accepted as an accurate method in estimating the VaR value in both normal and crisis periods. The optimal portfolios formed based on the mean-VaR are Portfolio-1 (normal period) and Portfolio-2 (crisis period). The composition of Portfolio-1 is BBRI, BBCA, BNLI, BTPN, and BNBA with the optimal proportion of each share sequentially of (18.35%), (23.90%), (11.39%), (18.63 %), and (27.73%). The VaR value of Portfolio-1 is -0.0107. The composition of Portfolio-2 is BNII and BNBA with optimal proportions of each share (22.71%) and (77.29%). The VaR value of Portfolio-2 is -0.0354. The results of this study can be used by investors as a reference in making investment decisions that focus on downside risk.

Comparison Between Value at Risk and Adjusted Expected Shortfall: A Numerical Analysis

“…VaR is a type of risk measure that calculates the number of losses that can occur by knowing the assets position, the level of confidence in the risk occurrence, and the holding period of asset placement [22]. In other words, VaR will answer the question "how much (in percent or a certain amount of money) investors can lose in the t-th investment time with a confidence level of (1-α)".…”

“…According to [22], to perform the backtesting test, a sample of size N will be divided into two groups, namely the estimation window (𝐾 𝐸 ) and the test window (𝐾 𝑈 ). Estimation window (𝐾 𝐸 ) is a group of observations used to calculate Value at Risk.…”

Pengendalian Kualitas Produk Kain Jeans Pada Pt. Apac Inti Corpora Melalui Diagram Kontrol Multivariat Np

“…PROGRAM STUDI TEKNIK INDUSTRI-FAKULTAS TEKNIK UNIVERSITAS PEMBANGUNAN NASIONAL "VETERAN" JAWA TIMUR I. PENDAHULUAN Menurut BPS (2018) industri manufaktur adalah industri pengolahan suatu usaha dengan mengolah atau mengubah bahan mentah menjadi barang jadi atau barang setengah jadi, sehingga mempunyai nilai tambah baik dilakukan secara mekanis dengan mesin atau tanpa menggunakan mesin. Kondisi masyarakat yang semakin teliti dan kritis dalam memilih produk yang akan digunakan dan semakin berkembangnya ilmu pengetahuan dan teknologi yang menyebabkan persaingan di bidang industri semakin ketat (Astuti dan Gunarsih, 2021).…”