Analisis Value At Risk Dengan Menggunakan Metode Historis Dan Monte Carlo Pada Saham Jakarta Islamic Index (JII)

Sucita, Oci Annisa (2022) Analisis Value At Risk Dengan Menggunakan Metode Historis Dan Monte Carlo Pada Saham Jakarta Islamic Index (JII). Other thesis, Universitas Islam Riau.

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Abstract

This study aims to determine the results of Value at Risk by using the Historical Simulation and Monte Carlo Simulation methods for the 2018-2021 period. The population used in this study are companies whose shares are listed on the Islamic Jakarta Index (JII) with a sampling of 14 companies taken from the official IDX website,ICMD and yahoo finance. Based on the results of the test analysis, it is shown that the company that has the highest level of VaR risk in the Historical and the Monte Carlo Simulation Methods is Barito Pacific Tbk and the smallest is Indofood CBP Sukses Makmur Tbk.

Item Type: Thesis (Other)
Uncontrolled Keywords: Value at Risk (VaR), Historical Simulation, Monte Carlo Simulation
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: > Manajemen
> Manajemen
Depositing User: Mohamad Habib Junaidi
Date Deposited: 11 Aug 2022 10:24
Last Modified: 11 Aug 2022 10:24
URI: http://repository.uir.ac.id/id/eprint/13829

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