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VALUE AT RISK PADA PORTOFOLIO NILAI TUKAR MATA UANG DENGAN MODEL VARIANCE COVARIANCE DAN HISTORICAL SIMULATION

Tiara Handayani, Rusdayanti Asma

Abstract


This study is aimed to measure the value of value at risk using variance covariance historical simulation model. The research object used in this research is the foreign exchange rate published in the Bank of Indonesia. Samples are consist of 200 foreign exchange rate published in Bank of Indonesia. the data used is the middle rate of exchange for the year of 2012. the measurement of value at risk on this research is using confidence level at 95% and time horizon of 5 days, 10 days, and 15 days. Determination of the proportion of funds in the portfolio formation using the value at risk is using the proportion funds division evenly and using solver in Microsoft Excel 2007.The result of this research shows that there's the differences of measurement result of certain risk between variance covariance and historical simulation models, which the value of value at risk with historical simulation model is fewer than the value at risk with variance covariance model. In the portfolio calculation, there's the differences in value at risk of foreign exchange rate portfolio result, between variance covariance model and historical simulation model. using solver resulting in value at risk of foreign exchange rate portfolio have a fewer value than value at  risk of foreign exchange rate portfolio that's not using solver. 

 

Keywords: Value at Risk, Foreign Exchange Rate, Variance Covariance, Historical Simulation, Confidence Level, Time Horizon, Solver.


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