VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)

VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)

Value-at-Risk (VaR) and Expected Shortfall (ES) are risk measures that has been used with a purpose to predict the risks that might occur in the future. In this Final Project, volatility model Generalized Autoregressive Conditionally Heteroscedatic(GARCH) will be used to represent the value of finan...

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Main Author: ARIYANI (NIM : 10108073); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, VANIA
Format: Final Project
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/17492
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:17492
spelling id-itb.:174922017-09-27T11:42:59Z VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1) ARIYANI (NIM : 10108073); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, VANIA Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/17492 Value-at-Risk (VaR) and Expected Shortfall (ES) are risk measures that has been used with a purpose to predict the risks that might occur in the future. In this Final Project, volatility model Generalized Autoregressive Conditionally Heteroscedatic(GARCH) will be used to represent the value of financial return. With using the risk measures VaR and ES, a simulation for risk prediction will be carried out by using some methods of risk prediction, namely (i) Historical Simulation Method, (ii) Normal Conditional Distribution Method, and (iii) Filtered Historical Simulation Method. This simulation was conducted to see how good GARCH(1,1) and risk measures VaR and ES in predicting one step ahead risk prediction. 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 Value-at-Risk (VaR) and Expected Shortfall (ES) are risk measures that has been used with a purpose to predict the risks that might occur in the future. In this Final Project, volatility model Generalized Autoregressive Conditionally Heteroscedatic(GARCH) will be used to represent the value of financial return. With using the risk measures VaR and ES, a simulation for risk prediction will be carried out by using some methods of risk prediction, namely (i) Historical Simulation Method, (ii) Normal Conditional Distribution Method, and (iii) Filtered Historical Simulation Method. This simulation was conducted to see how good GARCH(1,1) and risk measures VaR and ES in predicting one step ahead risk prediction.
format Final Project
author ARIYANI (NIM : 10108073); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, VANIA
spellingShingle ARIYANI (NIM : 10108073); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, VANIA
VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)
author_facet ARIYANI (NIM : 10108073); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, VANIA
author_sort ARIYANI (NIM : 10108073); Pembimbing : Khreshna I.A. Syuhada, M.Sc, Ph.D, VANIA
title VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)
title_short VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)
title_full VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)
title_fullStr VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)
title_full_unstemmed VALUE-AT-RISK DAN EXPECTED SHORTFALL PADA MODEL GARCH(1,1)
title_sort value-at-risk dan expected shortfall pada model garch(1,1)
url https://digilib.itb.ac.id/gdl/view/17492
_version_ 1820745617201168384

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