PENGUKURAN RISIKO GLUE-VALUE-AT-RISK PADA DATA DISTRIBUSI ELLIPTICAL (Studi Kasus: Data Saham PT Indocement Tunggal Prakarsa Tbk, PT Unilever Indonesia Tbk, PT United Tractors Tbk, Periode 1 Juni 2018 – 29 November 2019)

Abstract

Risk measurement is carried out to determine the risk. Popular methods that can be used to measure risk at a confidence level are Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR). A Risk measurement should satisfy: translation invariance, positive homogenicity, monocity and subadditivity. VaR does not satisfy one of coherent axioms, namely subadditivity. TVaR is considered capable of overcoming VaR problems, but it’s too large for a risk measure. Glue-Value-at-Risk (GlueVaR) is a method that can overcome these problems because it can be valued between VaR and TVaR and fulfills four coherent axioms. In this paper GlueVaR used in the elliptical distribution for normal distribution to measure the risk of the stock of PT Indocement Tunggal Prakarsa Tbk (INTP), PT Unilever Indonesia Tbk (UNVR), and PT United Tractors Tbk (UNTR) for the period June 1st 2018 – 29th November 2019. After knowing the stock return is normally distributed and used confidence levels of α = 95% and β = 98%, a high selection of distortion ℎ1=0,3≤1−𝛽1−𝛼 and ℎ2=0,4≥ℎ1. The high distortion selected makes GlueVaR worth between VaR and TVaR. GlueVaR for INTP, UNVR, and UNTR respectively are 4.886%; 2.999%; and 4.083%. Thus the lowest risk level is PT Unilever Indonesia Tbk.

Keywords : Value-at-Risk, Tail-Value-at-Risk, Glue-Value-at-Risk