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Value at Risk yang memperhatikan sifat statistika distribusi return

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  • Situngkir, Hokky

Abstract

Basel II Accord implicitely demands the usage of the recent statistical approaches to enrich the risk measurement in financial analysis. A widely known aspect in risk analysis today is the Value at Risk. We showed that the conventional VaR measurement regarding to the usage of normality as a basic principles is not met with the statistical properties discovered in a lot of financial data showing a-normality. The paper shows the comparative analysis of two methods to measure VaR: the one with normality basis and the other one realizing the two statistical moments, i.e.: skewness and kurtosis. The simulation results show that the latter gives better accuracy.

Suggested Citation

  • Situngkir, Hokky, 2006. "Value at Risk yang memperhatikan sifat statistika distribusi return," MPRA Paper 895, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:895
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    File URL: https://mpra.ub.uni-muenchen.de/895/1/MPRA_paper_895.pdf
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    References listed on IDEAS

    as
    1. Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance 0405005, University Library of Munich, Germany.
    2. Baxter,Martin & Rennie,Andrew, 1996. "Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521552899, November.
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    Cited by:

    1. Situngkir, Hokky & Surya, Yohanes, 2006. "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper 896, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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