#TITLE_ALTERNATIVE#

• Main Author: PUTRI ERMASWARI (NIM 10107032); Pembimbing : Khreshna I. A. Syuhada, M.Sc, PhD., AYA
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/14027
• Institution: Institut Teknologi Bandung

Value-at-Risk or VaR is one of risk measures which deals with maximum loss of <br /> <br /> <br /> <br /> <br /> assets. We are concerned, in this thesis, with calculating VaR for exchange rate <br /> <br /> <br /> <br /> <br /> returns. It is well-known that changes/volatility in currency or exchange rates yield <br /> <br /> <br /> <br /> <br /> risk and this must be controlled. As a function of volatility, VaR is an appropriate <br /> <br /> <br /> <br /> <br /> tool to do so. Specifically, we have used a GARCH (1,1) model to predict volatility. <br /> <br /> <br /> <br /> <br /> Assessment of the accuracy of VaR prediction is carried out by calculating ex- <br /> <br /> <br /> <br /> <br /> ception rate and conditional coverage probability. Our numerical study is using the <br /> <br /> <br /> <br /> <br /> foreign exchange rates between Indonesian Rupiah (IDR) against US Dollar (USD), <br /> <br /> <br /> <br /> <br /> Australian Dollar, Euro, Japanese Yen, Thailand Bhat and China Yuan. It is found <br /> <br /> <br /> <br /> <br /> that highest VaR is for IDR-USD exchange rate returns. This condition represents <br /> <br /> <br /> <br /> <br /> that a transaction using US Dollar has a highest potential risk compared with other <br /> <br /> <br /> <br /> <br /> currencies.