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A person or company may invest infi…nancial assets in the stock market. Each investment will be at risk in a certain time interval. One of the risks faced by the market risk. This final project will explain one method of measuring the risk of investment portfolios that are considered easy to unde...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/15374 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | A person or company may invest infi…nancial assets in the stock market. Each investment will be at risk in a certain time interval. One of the risks faced by the market risk. This final project will explain one method of measuring the risk of investment portfolios that are considered easy to understand and quantify the market risks, i.e. Value at Risk or commonly known as VaR. Portfolios that are used in this final project consist of stocks and bonds. VaR will answer questions about how big the maximum loss that can be obtained from the investment portfolio. The calculation of VaR value that will be explained in this …nal project includes three methods of Historical Simulation, Variance-Covariance Approach, and Monte Carlo Simulation. The next step is creating computer program to determine Value at Risk, with expectation the program will make someone or institutions doing their fi…nancial job easier. |
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