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Comparison of Variance Covariance and Historical Simulation Methods to Calculate Value At Risk on Banking Stock Portfolio

Jurnal Matematika, Statistika dan Komputasi · Vol. 19 No. 1 (2022) · hlm. 241–250

DOI
10.20956/j.v19i1.21436
ISSN
2614-8811, 1858-1382
Terbit
2022-09-07
Penerbit
Department of Mathematics, Hasanuddin University
Bahasa
en
Lisensi
creativecommons.org/licenses/by/4.0

Abstrak

In investing, all investors must be faced with risk that must be borne. Therefore, to determine the best strategy in investing, every investor must calculate the risk. One statistical approach that can be used to measure the risk is Value at Risk (VaR). VaR is defined as a tolerable loss with a certain level of confidence. The purpose of this research is to estimate VaR using Variance Covariance and Historical Simulation methods on banking stock portfolio consisting of three stocks for the period 11 September 2020-30 September 2021. Both methods will then be evaluated using backtesting to determine the accuracy of VaR and to obtain the best method. From the research results, if the holding period is 1 day, then the VaR calculation for banking stock portfolio using both methods can be used to estimate the risk at 99% and 95% confidence levels, except for the VaR value using the Variance Covariance method for banking stock portfolio at 95% confidence level. The results show that Variance Covariance method is the best method for 99% confidence level. As for the 95% confidence level, Historical Simulation method is the best method.

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  • Hasanuddin University
  • President University
  • Cenderawasih University
  • Sebelas Maret University
  • Universitas Sulawesi Barat
  • Universitas Papua
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Rekan penulisOrganisasiArtikel bersama
Anisa KalondengHasanuddin University4
Sri Astuti ThamrinHasanuddin University3
Andi Isna YunitaHasanuddin University2
Andi M. Alfin BasoHasanuddin University2
Nurtiti SunusiHasanuddin University2
Yundy HafizriandaCenderawasih University1
Alfiana AntohCenderawasih University1
Anna IslamiyatiHasanuddin University1
Hajratul Ashwad KAfiliasi tidak diketahui1
Afifah Mutiah NurdinHasanuddin University1
Muh. Indirwan ArfanHasanuddin University1
Sitti SahrimanAfiliasi tidak diketahui1
Muhammad FadilAfiliasi tidak diketahui1
A. Muthiah Nur AngrianyHasanuddin University1
Rini JamalAfiliasi tidak diketahui1
Andi FebriyantiAfiliasi tidak diketahui1
Rahmiati RahimAfiliasi tidak diketahui1
Nirwan IlyasHasanuddin University1
Haksar HaksarAfiliasi tidak diketahui1
Endang SulastriSebelas Maret University1
Ririn SetiyowatiSebelas Maret University1
Nur Hilal A. SyahrirUniversitas Sulawesi Barat1
Nurul RezkiAfiliasi tidak diketahui1
Sri Indriani AmilHasanuddin University1
Georgina Maria TinungkiHasanuddin University1
Taufiq AkbarHasanuddin University1
Fadilah Amirul AdhelHasanuddin University1
Zaraswati Dwyana ZainuddinHasanuddin University1
Herlina RasyidHasanuddin University1
Nur Aliah RamadhaniHasanuddin University1
Nadia Nazwadiah CaesarHasanuddin University1
Staenly StaenlyPresident University1
Josep GintingPresident University1
Nurfadilah NurfadilahHasanuddin University1
Muhammad Ridzky DavalaHasanuddin University1
Junianto SesaUniversitas Papua1
Mirna MirnaHasanuddin University1

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Sumber metadata: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/jmsk/oai, pertama di-harvest 5 Nov 2026, terakhir terlihat 8 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en">Comparison of Variance Covariance and Historical Simulation Methods to Calculate Value At Risk on Banking Stock Portfolio</dc:title>
	<dc:creator xml:lang="en">Irsan, Maria Yus Trinity</dc:creator>
	<dc:creator xml:lang="en">Priscilla, Evelyn </dc:creator>
	<dc:creator xml:lang="en">Siswanto, Siswanto</dc:creator>
	<dc:subject xml:lang="en">Value at Risk</dc:subject>
	<dc:subject xml:lang="en">Variance Covariance</dc:subject>
	<dc:subject xml:lang="en">Historical Simulation</dc:subject>
	<dc:subject xml:lang="en">Backtesting</dc:subject>
	<dc:subject xml:lang="en">Banking Stock Portfolio</dc:subject>
	<dc:description xml:lang="en">In investing, all investors must be faced with risk that must be borne. Therefore, to determine the best strategy in investing, every investor must calculate the risk. One statistical approach that can be used to measure the risk is Value at Risk (VaR). VaR is defined as a tolerable loss with a certain level of confidence. The purpose of this research is to estimate VaR using Variance Covariance and Historical Simulation methods on banking stock portfolio consisting of three stocks for the period 11 September 2020-30 September 2021. Both methods will then be evaluated using backtesting to determine the accuracy of VaR and to obtain the best method. From the research results, if the holding period is 1 day, then the VaR calculation for banking stock portfolio using both methods can be used to estimate the risk at 99% and 95% confidence levels, except for the VaR value using the Variance Covariance method for banking stock portfolio at 95% confidence level. The results show that Variance Covariance method is the best method for 99% confidence level. As for the 95% confidence level, Historical Simulation method is the best method.</dc:description>
	<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
	<dc:date>2022-09-07</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:identifier>https://journal.unhas.ac.id/index.php/jmsk/article/view/21436</dc:identifier>
	<dc:identifier>10.20956/j.v19i1.21436</dc:identifier>
	<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 19 No. 1 (2022): SEPTEMBER, 2022; 241-250</dc:source>
	<dc:source>2614-8811</dc:source>
	<dc:source>1858-1382</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/jmsk/article/view/21436/8607</dc:relation>
	<dc:relation>10.20956/j.v19i1.21436.g8607</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2022 Author and publisher</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
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