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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Main Author: RAFQI (NIM : 10107099); pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, MUHAMMAD
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
id id-itb.:16579
spelling id-itb.:165792017-09-27T11:43:02ZPREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY RAFQI (NIM : 10107099); pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, MUHAMMAD Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/16579 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. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description 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.
format Final Project
author RAFQI (NIM : 10107099); pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, MUHAMMAD
spellingShingle RAFQI (NIM : 10107099); pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, MUHAMMAD
PREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY
author_facet RAFQI (NIM : 10107099); pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, MUHAMMAD
author_sort RAFQI (NIM : 10107099); pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, MUHAMMAD
title PREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY
title_short PREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY
title_full PREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY
title_fullStr PREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY
title_full_unstemmed PREDICTION OF VALUE-AT-RISK ON THE CHANGES IN STOCK PRICE OF A COMPANY
title_sort prediction of value-at-risk on the changes in stock price of a company
url https://digilib.itb.ac.id/gdl/view/16579
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