BibTex Citation Data :
@article{J.Gauss8069, author = {Bayu Wicaksono and Yuciana Wilandari and Agus Rusgiyono}, title = {PERBANDINGAN METODE VARIANCE COVARIANCE DAN HISTORICAL SIMULATION UNTUK MENGUKUR RISIKO INVESTASI REKSA DANA}, journal = {Jurnal Gaussian}, volume = {3}, number = {4}, year = {2014}, keywords = {}, abstract = { One of the instruments of financial assets are investments in mutual funds. Every day of the total fair value of the assets in the mutual fund is always changing because the market value of each type of asset that is changing. Thus causing mutual fund has a risk. It is necessary for the measurement of risk in mutual funds using the Value at Risk (VaR). There are three methods of calculating the VaR Variance-covariance method, Monte Carlo simulation methods and methods Historical Simulation. In this study, the variance-covariance method used and the Historical Simulation method to measure potential losses on investments largest mutual fund shares at 95% confidence level. The test used is the Kolmogorov-Smirnov normality test and Kupiec test return data to test the accuracy of the calculation of VaR. Because the data are not normally distributed returns, the adjustment is then performed using the Cornish-Fisher Expansion. By using the t test results show that the calculation of VaR with variance-covariance and Historical Simulation did not differ significantly. The test results show that the accuracy of the VaR VaR accurately all used to measure the magnitude of the maximum potential loss on investments in mutual fund shares. Keywords : Value at Risk (VaR), Variance-covariance, Historical Simulation, Mutual Fund, Risk. }, issn = {2339-2541}, pages = {585--594} doi = {10.14710/j.gauss.3.4.585-594}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/8069} }
Refworks Citation Data :
One of the instruments of financial assets are investments in mutual funds. Every day of the total fair value of the assets in the mutual fund is always changing because the market value of each type of asset that is changing. Thus causing mutual fund has a risk. It is necessary for the measurement of risk in mutual funds using the Value at Risk (VaR). There are three methods of calculating the VaR Variance-covariance method, Monte Carlo simulation methods and methods Historical Simulation. In this study, the variance-covariance method used and the Historical Simulation method to measure potential losses on investments largest mutual fund shares at 95% confidence level. The test used is the Kolmogorov-Smirnov normality test and Kupiec test return data to test the accuracy of the calculation of VaR. Because the data are not normally distributed returns, the adjustment is then performed using the Cornish-Fisher Expansion. By using the t test results show that the calculation of VaR with variance-covariance and Historical Simulation did not differ significantly. The test results show that the accuracy of the VaR VaR accurately all used to measure the magnitude of the maximum potential loss on investments in mutual fund shares.
Keywords : Value at Risk (VaR), Variance-covariance, Historical Simulation, Mutual Fund, Risk.
Article Metrics:
Last update:
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Jurnal Gaussian and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Jurnal Gaussian journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Jurnal Gaussian]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Rukun Santoso (Editor-in-Chief) Editorial Office of Jurnal GaussianDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: jurnalgaussian@gmail.com
Jurnal Gaussian by Departemen Statistika Undip is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Visitor Number:
View statistics