RISK MEASURE FOR ASSET PORTFOLIO

• Main Author: NUR ARIFIN (NIM : 10110083); , YULIANTO
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19743
• Institution: Institut Teknologi Bandung

Determining risk measure for asset portfolio based on return data by involving dependence factor between return asset compilers needs a right analysis. It related to the accuracy of determining return asset distribution function and the selection of joint <br /> <br /> <br /> distribution function for both return asset portfolio compiler that will be defends every distribution asset as margins. Using Copula which a joint distribution function as a constructing method can be accommodate this requirement. Moreover, using Copula can give more choice at selection joint distribution function with different margins and modeling the dependence of return asset more freely. This Final Project uses FTSE 100 and NASDAQ as return data. Related to the portfolio risk measure that will involve that data, Monte Carlo simulation based on Copula that used for calculation of <br /> <br /> <br /> risk measure process. The next analysis is looking at the variation of asset proportion value toward risk measure of portfolio. From the simulation result known that Copula Gumbel can describe the dependence of portfolio return asset more successfully than another Copula.