ESTIMASI NILAI CONDITIONAL VALUE at RISK (CVaR) MENGGUNAKAN FUNGSI GAUSSIAN COPULA

Fitrin Harisna Rifani, NIM.: 16610039 (2023) ESTIMASI NILAI CONDITIONAL VALUE at RISK (CVaR) MENGGUNAKAN FUNGSI GAUSSIAN COPULA. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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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%.

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