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Analysis of Risk using Value at Risk (VaR) After Crisis in 2008 Study in Stocks of Bank Mandiri, Bank BRI and Bank BNI in 2009-2011

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  • Hasna Fadhila
  • Nora Amelda Rizal

Abstract

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.

Suggested Citation

  • Hasna Fadhila & Nora Amelda Rizal, 2013. "Analysis of Risk using Value at Risk (VaR) After Crisis in 2008 Study in Stocks of Bank Mandiri, Bank BRI and Bank BNI in 2009-2011," Information Management and Business Review, AMH International, vol. 5(8), pages 394-400.
    • Handle: RePEc:rnd:arimbr:v:5:y:2013:i:8:p:394-400
    DOI: 10.22610/imbr.v5i8.1067
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    References listed on IDEAS

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    1. Stambaugh, Fred, 1996. "Risk and value at risk," European Management Journal, Elsevier, vol. 14(6), pages 612-621, December.
    2. Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001. "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 325-342, July.
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