EVALUASI VALUE-AT-RISK PADA DATA DESK-LEVEL DAN MODEL YANG TIDAK TEPAT SPESIFIKASI

• Main Author: LAILY HARLEN MUMEK (NIM : 10108024); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, CHRISTIANI
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/15230
• Institution: Institut Teknologi Bandung

Value-at-Risk is one of the risk measurement that always can be used by investor for controlling the risk level. VaR can be obtained by calculating the quantile of the distribution of loss data. The accuracy of VaR prediction depends on choosing the correct model. In this thesis, we will evaluate VaR to examine the accuracy of VaR prediction which is obtained from desk-level data and misspecified model data. <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> Evaluating of misspecified model shows that inaccuracy of choosing VaR model give effect for the value of VaR prediction.