2023
DOI: 10.54099/ijamb.v1i1.436
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Value At Risk Analysis Using Historical Method and Monte Carlo Simulation in Banking and Mining Sector Companies

Abstract: Purpose – Investments in the capital market must be able to understand the risks that exist, because investments that will be faced in the future contain uncertainty. The growth of trading activity and the increasingly uncertain market makes market participants feel the need to develop more accurate and reliable risk measurement techniques. One of the risk measurement techniques is Value at Risk (VaR).  Methodology/approach – Value at Risk (VaR) is a method of calculating market risk to determine the max… Show more

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