PREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY
Stock is one of the investment options. Investments growth on stocks calculated based on stock return. Stock returns can be positive, negative or zero which is the risk of the investment. The higher the risk, the higher the expectations of growth or investment losses. Risk can be measured quantitati...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/16579 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Stock is one of the investment options. Investments growth on stocks calculated based on stock return. Stock returns can be positive, negative or zero which is the risk of the investment. The higher the risk, the higher the expectations of growth or investment losses. Risk can be measured quantitatively so that investors are better prepared in anticipation of losses. One way to measure risk is the Value-at-Risk. Value-at-Risk is the predictive value stated the maximum loss derived from an investment in a given period with a given confidence level. In this report, the result of Value-at-Risk will be calculated using Monte Carlo Simulation. The Prediction value of Value-at-Risk will be tested, to proof its accuracy using Correct VaR method. Correct VaR results will provide an overview of confidence level in calculating Value-at-Risk. Moreover, it will be determined the risk expectation based on Value-at-Risk. This is accomplished to see the amount of (magnitude) losses for larger values of Value-at-Risk. |
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