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Nilai Risiko Terkondisi pada Return Finansial Menggunakan Metode Copula Gumbel

ESTIMASI: Journal of Statistics and Its Application · Vol. 3 No. 1 (2022) · pp. 49–58

DOI
10.20956/ejsa.vi.12246
ISSN
2721-379X, 2721-3803
Published
2022-02-01
Publisher
Hasanuddin University
Language
en

Abstract

The calculation of VaR is assumed normal distribution while the conditions in the real world distribution conditions of the return value depends on the market conditions that occurred at the time. Thus, this makes VaR estimates invalid which results in portfolio risk occurring greater than the predetermined risk. Therefore, In this study, the estimated risk value uses the Conditional Value at Risk (CVaR), which measures the expected value depending on what is the worst percentage of the risk loss, and using Copula Gumbel to model financial return in the investment data of PT. Telkomunikasi Indonesia tbk and PT. XL Axiata tbk. for the period March 11, 2019 to March 10, 2020. In this study, the CVaR estimation results for the 99% confidence level is 0.231, while for the VaR estimate it is 0.192. This indicates that risk value with CVaR estimate is better able to show higher risk than VaR.

Keywords

Collaboration network of the authors

36 authors · 82 co-authorship links · 5 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Universitas Islam Negeri Raden Fatah Palembang
  • Sultan Ageng Tirtayasa University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Anna IslamiyatiAffiliation unknown3
Nirwan IlyasAffiliation unknown3
La Podje TalangkoAffiliation unknown2
Sitti SahrimanAffiliation unknown2
Georgina Maria TinungkiAffiliation unknown2
Deby NovianiUniversitas Islam Negeri Raden Fatah Palembang1
Winda Rahayu FitrianiUniversitas Islam Negeri Raden Fatah Palembang1
Cinta MellindaUniversitas Islam Negeri Raden Fatah Palembang1
Feni JuniatiUniversitas Islam Negeri Raden Fatah Palembang1
Muhammad Win AfganiUniversitas Islam Negeri Raden Fatah Palembang1
Heni PujiastutiSultan Ageng Tirtayasa University1
Hepsi NindiasariSultan Ageng Tirtayasa University1
Widya Nauli Amalia PuteriAffiliation unknown1
Bunga ApriliaAffiliation unknown1
Rusydah KhaeratiAffiliation unknown1
Grace Oktavia YusufAffiliation unknown1
Azman AzmanAffiliation unknown1
Fitriatusakiah FitriatusakiahAffiliation unknown1
Raupong RaupongAffiliation unknown1
Andi Tenri Riski AmaliaAffiliation unknown1
Andi Isna YunitaAffiliation unknown1
Nasrah SirajangAffiliation unknown1
Reski AmalahAffiliation unknown1
Nur Fuadil Maqnun WahabAffiliation unknown1
Nurtit SunusiAffiliation unknown1
Ainul FajriAffiliation unknown1
Anisa Haura Salsa Fatih YusufAffiliation unknown1
Nurtiti SunusiAffiliation unknown1
Ika Pratiwi HayaAffiliation unknown1
Andi Ummi Melin Aicha AichaAffiliation unknown1
Victor LimanAffiliation unknown1
Wa Ode Sitti Amni AmniAffiliation unknown1
Amalia AndrianingrumAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/ESTIMASI/oai, first harvested 2 Nov 2026, last seen 2 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">Nilai Risiko Terkondisi pada Return Finansial  Menggunakan Metode Copula Gumbel</dc:title>
	<dc:creator xml:lang="en">Alimatun, Najiha</dc:creator>
	<dc:creator xml:lang="en">Anisa, Anisa</dc:creator>
	<dc:creator xml:lang="en">Jaya, Andi Kresna</dc:creator>
	<dc:subject xml:lang="en">Copula Gumbel</dc:subject>
	<dc:subject xml:lang="en">Stock Return</dc:subject>
	<dc:subject xml:lang="en">Value at Risk</dc:subject>
	<dc:description xml:lang="en">The calculation of VaR is assumed normal distribution while the conditions in the real world distribution conditions of the return value depends on the market conditions that occurred at the time. Thus, this makes VaR estimates invalid which results in portfolio risk occurring greater than the predetermined risk. Therefore, In this study, the estimated risk value uses the Conditional Value at Risk (CVaR), which measures the expected value depending on what is the worst percentage of the risk loss, and using Copula Gumbel to model financial return in the investment data of PT. Telkomunikasi Indonesia tbk and PT. XL Axiata tbk. for the period March 11, 2019 to March 10, 2020. In this study, the CVaR estimation results for the 99% confidence level is 0.231, while for the VaR estimate it is 0.192. This indicates that risk value with CVaR estimate is better able to show higher risk than VaR.</dc:description>
	<dc:publisher xml:lang="en">Hasanuddin University</dc:publisher>
	<dc:date>2022-02-01</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unhas.ac.id/index.php/ESTIMASI/article/view/12246</dc:identifier>
	<dc:identifier>10.20956/ejsa.vi.12246</dc:identifier>
	<dc:source xml:lang="en">ESTIMASI: Journal of Statistics and Its Application; Vol. 3, No. 1, Januari, 2022 : Estimasi; 49-58</dc:source>
	<dc:source>2721-379X</dc:source>
	<dc:source>2721-3803</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/ESTIMASI/article/view/12246/7856</dc:relation>
</oai_dc:dc>