eprintid: 58973
rev_number: 11
eprint_status: archive
userid: 12460
dir: disk0/00/05/89/73
datestamp: 2023-05-31 04:05:05
lastmod: 2023-05-31 04:05:05
status_changed: 2023-05-31 04:05:05
type: thesis
metadata_visibility: show
contact_email: muh.khabib@uin-suka.ac.id
creators_name: Fitrin Harisna Rifani, NIM.: 16610039
title: ESTIMASI NILAI CONDITIONAL VALUE at RISK (CVaR) MENGGUNAKAN FUNGSI GAUSSIAN COPULA
ispublished: pub
subjects: Matematika
divisions: jur_mat
full_text_status: restricted
keywords: Copula, Value at Risk (VaR), Conditional Value at Risk (CVaR)
note: Pembimbing: M. Farhan Qudratullah, S.Si., M.Si
abstract: Copula is already widely used in financial assets, expecially in risk management. It is due to the ability of copula to capture the nonlinear dependence structure on multivariate assets. One measure that can be used to measure risk is Value at Risk (VaR). Although Value at Risk (VaR) is very popular, it has several weaknesses. To overcome the weaknesses in VaR, an alternative risk measure called Conditional Value at Risk (CVaR) can be used. This CVaR is a risk measure that has many advantages. The purpose of this study is to estimate Conditional Value at Risk (CVaR) using Gaussian Copula function. The data we used are the closing price of Jakarta Islamic Index (JII) stocks, which is then selected by three stocks using the Treynor Ratio is INCO, INDF, and UNVR stocks. The results from the calculation using 90% confidence level showed that the risk that may be experienced is at 0,588%. Meanwhile, at the 95% confidence level the risk that may be experienced is at 0,669%. And at the 99% confidence level the risk that may be 0,849%.
date: 2023-03-08
date_type: published
pages: 185
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS SAINS DAN TEKNOLOGI
thesis_type: skripsi
thesis_name: other
citation:   Fitrin Harisna Rifani, NIM.: 16610039  (2023) ESTIMASI NILAI CONDITIONAL VALUE at RISK (CVaR) MENGGUNAKAN FUNGSI GAUSSIAN COPULA.  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/58973/1/16610039_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/58973/2/16610039_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf