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THE APPLICATION OF GUMBEL COPULA TO ESTIMATE VALUE AT RISK WITH BACKTESTING IN TELECOMMUNICATION STOCK

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 17 No. 1 (2023) · pp. 0245–0252

DOI
10.30598/barekengvol17iss1pp0245-0252
ISSN
2615-3017, 1978-7227
Published
2023-04-16
Publisher
PATTIMURA UNIVERSITY
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

Abstract

The Value at Risk (VaR) method refers to a statistical risk measurement tool used to determine the maximum loss of an investment, while the distribution that must be met is the normal distribution. This is not in line with the actual situation, because the distribution of the return value is found to be not normally distributed but depends on market conditions that occurred at that time, thus invalidating the VaR estimate and resulting in greater portfolio risk. Therefore, in this study, the estimation of risk value will be carried out using the Gumbel Copula method which can model the dependency structure between stocks and is flexible enough to model financial return data from https://finance.yahoo.com/. The parameter estimates produced by the Gumbel Copula method are then used to calculate the VaR at 90%, and 99% confidence levels. The resulting VaR values ​​are 0,076 and 0.231. To test the feasibility of the VaR model, backtesting was carried out and concluded that the VaR value obtained was valid and suitable for use in the risk assessment of PT. XL Axiata Tbk and PT. Telkomunikasi Indonesia Tbk.

Collaboration network of the authors

40 authors · 97 co-authorship links · showing the 40 most connected

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  • 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
Nasrah SirajangAffiliation unknown5
Nurtiti SunusiAffiliation unknown3
Sitti SahrimanAffiliation unknown3
Anisa AnisaSultan Ageng Tirtayasa University3
RaupongAffiliation unknown2
Saleh AFAffiliation unknown2
Ika FitrianaAffiliation unknown2
Andi Kresna JayaAffiliation unknown2
Aqilah Salsabila RahmanAffiliation unknown2
Nurhidaya LAffiliation unknown2
Sonya SonyaAffiliation unknown2
Iis Cendrah KasihAffiliation unknown1
Rizki AdiputraAffiliation unknown1
Asti Inayati MagfirahAffiliation unknown1
Mega Selvia TjahayaAffiliation unknown1
Andi Isna YunitaAffiliation unknown1
Ratmila MammiAffiliation unknown1
Nur Alfianingsih RajaAffiliation unknown1
Riska RasyidAffiliation unknown1
Hendriete Tiur Marowi WaibusiAffiliation unknown1
Victor LimanAffiliation unknown1
Rael Hofni TandirerungAffiliation unknown1
Anisa KalondengAffiliation unknown1
Surya Cahyadi SyamAffiliation unknown1
Nuralyatussa’ adaAffiliation unknown1
Muh. HadriantoAffiliation unknown1
Rita Ruth Chendra ChendraAffiliation unknown1
Abdul Fathin FawwazAffiliation unknown1
Andini Riantika Putri Amirullah AmirullahAffiliation unknown1
Hadi Siswadi Hamran HamzahAffiliation unknown1
Siswanto SiswantoAffiliation unknown1
Taufiq AkbarAffiliation unknown1
Fadhila Febriyanti NajamuddinAffiliation unknown1
Mayashari MayashariAffiliation unknown1
Mustabsyirah MustabsyirahAffiliation unknown1
Agung Muhammad TakdirAffiliation unknown1
Nuravia NuraviaAffiliation 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://ojs3.unpatti.ac.id/index.php/barekeng/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">THE APPLICATION OF GUMBEL COPULA TO ESTIMATE VALUE AT RISK WITH BACKTESTING IN TELECOMMUNICATION STOCK</dc:title>
	<dc:creator>Najiha, Alimatun</dc:creator>
	<dc:creator>Herdiani, Erna Tri</dc:creator>
	<dc:creator>Tinungki, Georgina Maria</dc:creator>
	<dc:description xml:lang="en-US">The Value at Risk (VaR) method refers to a statistical risk measurement tool used to determine the maximum loss of an investment, while the distribution that must be met is the normal distribution. This is not in line with the actual situation, because the distribution of the return value is found to be not normally distributed but depends on market conditions that occurred at that time, thus invalidating the VaR estimate and resulting in greater portfolio risk. Therefore, in this study, the estimation of risk value will be carried out using the Gumbel Copula method which can model the dependency structure between stocks and is flexible enough to model financial return data from https://finance.yahoo.com/. The parameter estimates produced by the Gumbel Copula method are then used to calculate the VaR at 90%, and 99% confidence levels. The resulting VaR values ​​are 0,076 and 0.231. To test the feasibility of the VaR model, backtesting was carried out and concluded that the VaR value obtained was valid and suitable for use in the risk assessment of PT. XL Axiata Tbk and PT. Telkomunikasi Indonesia Tbk.</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2023-04-16</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://ojs3.unpatti.ac.id/index.php/barekeng/article/view/6953</dc:identifier>
	<dc:identifier>10.30598/barekengvol17iss1pp0245-0252</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 17 No 1 (2023): BAREKENG: Journal of Mathematics and Its Applications; 0245-0252</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol17iss1year2023</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/6953/5531</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2023 Alimatun Najiha, Erna Tri Herdiani, Georgina Maria Tinungki</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>