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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

40 authors · 99 co-authorship links · 6 across different organisations · showing the 40 most connected

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

  • Hasanuddin University
  • Tadulako University
  • IPB University
  • Mulawarman University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Anisa AnisaHasanuddin University3
Georgina Maria TinungkiHasanuddin University3
Nirwan IlyasHasanuddin University2
La Podje TalangkoHasanuddin University2
Erna Tri HerdianiHasanuddin University2
R KhaeratiHasanuddin University1
Grace Oktavia YusufAffiliation unknown1
Fitriatusakiah FitriatusakiahAffiliation unknown1
Raupong RaupongHasanuddin University1
Andi Tenri Riski AmaliaAffiliation unknown1
Andi Isna YunitaHasanuddin University1
Nasrah SirajangHasanuddin University1
Reski AmalahAffiliation unknown1
NUR FUADIL MAQNUNAffiliation unknown1
Nurtit SunusiAffiliation unknown1
Ainul FajriAffiliation unknown1
Sitti SahrimanHasanuddin University1
Anisa Haura Salsa Fatih YusufAffiliation unknown1
Nurtiti SunusiHasanuddin University1
Ika Pratiwi HayaAffiliation unknown1
Anna IslamiyatiHasanuddin University1
Andi Ummi Melin AichaAffiliation unknown1
Victor LimanAffiliation unknown1
Wa Ode Sitti Amni AmniAffiliation unknown1
Sitti SahrimanAffiliation unknown1
Amalia AndrianingrumAffiliation unknown1
Fadhila Febriyanti NajamuddinHasanuddin University1
Nur ErawatiAffiliation unknown1
Sunarti SunartiAffiliation unknown1
Niswar AliansaAffiliation unknown1
Sutrianah BurhanAffiliation unknown1
Siswanto SiswantoHasanuddin University1
Arief Rahman NurHasanuddin University1
Andi Muhammad HakamHasanuddin University1
Sitti NurhalizaIPB University1
Erlyne Nadhilah WidyaningrumMulawarman University1
Morina A. FathanTadulako University1

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>