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Penggunaan Metode Copula Gaussian untuk Menentukan Nilai Value at Risk Investasi Saham pada Bank BCA dan Bank BRI

ESTIMASI: Journal of Statistics and Its Application · Vol. 6 No. 2 (2025) · pp. 188–195

DOI
10.20956/ejsa.v6i2.35960
ISSN
2721-379X, 2721-3803
Published
2025-08-04
Publisher
Hasanuddin University
Language
en

Abstract

Investment is capital for one or more assets over a long period of time to obtain profits. Besides being able to provide profits, stock investment also contains an element of risk. Therefore, risk measurement needs to be done so that the risk is within a controlled level so as to reduce the occurrence of investment losses. This study uses the Gaussian Copula to calculate Value at Risk on the closing price data of PT. Bank Central Asia Tbk and PT. Bank Rakyat Indonesia Tbk for the period January 02, 2020 to December 30, 2022. For the Kendall's correlation value τ=0.3307 produces a Pearson correlation value of ρ=0.4965 which is also used as an estimate of the Copula Gaussian parameter. The results of the VaR calculation on a portfolio with a weight of 50% shares of PT Bank Central Asia Tbk and 50% shares of PT Bank Rakyat Indonesia Tbk average VaR at the 95% confidence level of -0.0269 means that if investors invest their funds by 50% in PT Bank Central Asia Tbk shares and 50% in PT Bank Rakyat Indonesia Tbk shares there is a risk that the maximum loss is 2.69% of the invested funds.

Keywords

Collaboration network of the authors

39 authors · 136 co-authorship links

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  • Sultan Ageng Tirtayasa University
  • Affiliation unknown
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  • Same organisation
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Co-authorOrganisationJoint articles
Raupong RaupongAffiliation unknown3
Anna IslamiyatiAffiliation unknown3
Andi Kresna JayaAffiliation unknown2
Muhammad FadilAffiliation unknown2
Nurul IkhsaniAffiliation unknown2
Siswanto SiswantoAffiliation unknown2
Anisa AnisaSultan Ageng Tirtayasa University1
Bunga ApriliaAffiliation unknown1
Andi Sitti Fahmi Riyanti HufainiAffiliation unknown1
Grace Oktavia YusufAffiliation unknown1
Fitri FitriAffiliation unknown1
Nasrah SirajangAffiliation unknown1
Nurkamalia NurkamaliaAffiliation unknown1
RaupongAffiliation unknown1
SuritmanAffiliation unknown1
Asnidar AsnidarAffiliation unknown1
Georgina Maria TinungkiAffiliation unknown1
Surya Cahyadi SyamAffiliation unknown1
Afifah Mutiah NurdinAffiliation unknown1
Muh. Indirwan ArfanAffiliation unknown1
Wa Ode Sitti Amni AmniAffiliation unknown1
Andi M Alfin BasoAffiliation unknown1
A. Elisha WulandariAffiliation unknown1
Belia Nurul FajriAffiliation unknown1
Abdullah PannuAffiliation unknown1
Alfian Akbar VallarinoAffiliation unknown1
Anugrah Nur Isnaeni RahmanAffiliation unknown1
Haksar HaksarAffiliation unknown1
- SiswantoAffiliation unknown1
Nurtiti SunusiAffiliation unknown1
Andi Isna YunitaAffiliation unknown1
Ayu Pratika PutriAffiliation unknown1
Annurial Fitrayah TaufiqAffiliation unknown1
Ahmad Maulana SyarifAffiliation unknown1
Nurmimie KharinaAffiliation unknown1
Samsir Aditya AniaAffiliation 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">Penggunaan Metode Copula Gaussian untuk Menentukan Nilai Value at Risk Investasi Saham pada Bank BCA dan Bank BRI</dc:title>
	<dc:creator xml:lang="en">Palungan, Kevin Ekarinaldo</dc:creator>
	<dc:creator xml:lang="en">Kalondeng, Anisa</dc:creator>
	<dc:creator xml:lang="en">Ilyas, Nirwan</dc:creator>
	<dc:subject xml:lang="en">Copula Gaussian</dc:subject>
	<dc:subject xml:lang="en">Invesment</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">Investment is capital for one or more assets over a long period of time to obtain profits. Besides being able to provide profits, stock investment also contains an element of risk. Therefore, risk measurement needs to be done so that the risk is within a controlled level so as to reduce the occurrence of investment losses. This study uses the Gaussian Copula to calculate Value at Risk on the closing price data of PT. Bank Central Asia Tbk and PT. Bank Rakyat Indonesia Tbk for the period January 02, 2020 to December 30, 2022. For the Kendall's correlation value τ=0.3307 produces a Pearson correlation value of ρ=0.4965 which is also used as an estimate of the Copula Gaussian parameter. The results of the VaR calculation on a portfolio with a weight of 50% shares of PT Bank Central Asia Tbk and 50% shares of PT Bank Rakyat Indonesia Tbk average VaR at the 95% confidence level of -0.0269 means that if investors invest their funds by 50% in PT Bank Central Asia Tbk shares and 50% in PT Bank Rakyat Indonesia Tbk shares there is a risk that the maximum loss is 2.69% of the invested funds.</dc:description>
	<dc:publisher xml:lang="en">Hasanuddin University</dc:publisher>
	<dc:date>2025-08-04</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/35960</dc:identifier>
	<dc:identifier>10.20956/ejsa.v6i2.35960</dc:identifier>
	<dc:source xml:lang="en">ESTIMASI: Journal of Statistics and Its Application; Vol. 6, No. 2, Juli, 2025 : Estimasi; 188-195</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/35960/13221</dc:relation>
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