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Analisis Value at Risk pada Portofolio Saham PT. Adaro Energy Tbk dan PT. Bukit Asam Tbk Menggunakan Metode Copula Archimedean

ESTIMASI: Journal of Statistics and Its Application · Vol. 4 No. 2 (2023) · pp. 208–219

DOI
10.20956/ejsa.v4i2.25575
ISSN
2721-379X, 2721-3803
Published
2023-08-04
Publisher
Hasanuddin University
Language
en

Abstract

Value at Risk (VaR) is statistical method used in risk analysis in stock investments. Stock returns that are not normally distributed cause the risk calculation to be less precise, so to overcome this, the copula method can be used. Copula is a method based on dependencies between variables. The most commonly known copula family is the Archimedean copula which consists of the Clayton, Frank, and Gumbel copula. VaR is expected to be a feasible method to use, so it is important to perform backtesting. In this research, we use data on the daily closing price of PT. Adaro Energy Tbk and PT. Bukit Asam Tbk May 11, 2020 until June 15, 2022. The best copula based on the smallest Empirical copula value is Frank copula. VaR estimates for the 90%, 95%, and 99% confidence levels respectively were 2.688%, 3.545%, and 5.014%. The higher the confidence level, the VaR value is also higher. Based on backtesting results, VaR with Frank copula method is valid at 90%, 95%, and 99% confidence levels.

Keywords

Collaboration network of the authors

38 authors · 89 co-authorship links · 5 across different organisations

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  • 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
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Co-authorOrganisationJoint articles
Erna Tri HerdianiAffiliation unknown4
Anna IslamiyatiAffiliation unknown2
Nasrah SirajangAffiliation unknown2
RaupongAffiliation unknown2
Andi Kresna JayaAffiliation 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
Nirwan IlyasAffiliation unknown1
Iis Cendrah KasihAffiliation unknown1
Ika FitrianaAffiliation unknown1
Azman AzmanAffiliation unknown1
Asti Inayati MagfirahAffiliation unknown1
Mega Selvia TjahayaAffiliation unknown1
Andi Isna YunitaAffiliation unknown1
Najiha AlimatunAffiliation unknown1
Nur Alfianingsih RajaAffiliation unknown1
Aqilah Salsabila RahmanAffiliation unknown1
Nurhidaya LAffiliation unknown1
Sitti SahrimanAffiliation unknown1
Hendriete Tiur Marowi WaibusiAffiliation unknown1
Sonya SonyaAffiliation unknown1
Anisa KalondengAffiliation unknown1
Surya Cahyadi SyamAffiliation unknown1
Muh. HadriantoAffiliation unknown1
Rita Ruth Chendra ChendraAffiliation unknown1
Abdul Fathin FawwazAffiliation unknown1
Andini Riantika Putri Amirullah AmirullahAffiliation unknown1
Hadi Siswadi Hamran HamzahAffiliation 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">Analisis Value at Risk pada Portofolio Saham PT. Adaro Energy Tbk dan PT. Bukit Asam Tbk Menggunakan Metode Copula Archimedean</dc:title>
	<dc:creator xml:lang="en">Liman, Victor</dc:creator>
	<dc:creator xml:lang="en">Tinungki, Georgina Maria </dc:creator>
	<dc:creator xml:lang="en">Anisa, Anisa</dc:creator>
	<dc:subject xml:lang="en">Backtesting</dc:subject>
	<dc:subject xml:lang="en">Archimedean Copula</dc:subject>
	<dc:subject xml:lang="en">Risk</dc:subject>
	<dc:subject xml:lang="en">Stock</dc:subject>
	<dc:subject xml:lang="en">Value at Risk</dc:subject>
	<dc:description xml:lang="en">Value at Risk (VaR) is statistical method used in risk analysis in stock investments. Stock returns that are not normally distributed cause the risk calculation to be less precise, so to overcome this, the copula method can be used. Copula is a method based on dependencies between variables. The most commonly known copula family is the Archimedean copula which consists of the Clayton, Frank, and Gumbel copula. VaR is expected to be a feasible method to use, so it is important to perform backtesting. In this research, we use data on the daily closing price of PT. Adaro Energy Tbk and PT. Bukit Asam Tbk May 11, 2020 until June 15, 2022. The best copula based on the smallest Empirical copula value is Frank copula. VaR estimates for the 90%, 95%, and 99% confidence levels respectively were 2.688%, 3.545%, and 5.014%. The higher the confidence level, the VaR value is also higher. Based on backtesting results, VaR with Frank copula method is valid at 90%, 95%, and 99% confidence levels.</dc:description>
	<dc:publisher xml:lang="en">Hasanuddin University</dc:publisher>
	<dc:date>2023-08-04</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/25575</dc:identifier>
	<dc:identifier>10.20956/ejsa.v4i2.25575</dc:identifier>
	<dc:source xml:lang="en">ESTIMASI: Journal of Statistics and Its Application; Vol. 4, No. 2, Juli, 2023 : Estimasi; 208-219</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/25575/10212</dc:relation>
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