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A Comparative Analysis of the Accuracy of the Value at Risk Estimation Methods on Indonesian Banking Stocks
Jurnal Matematika, Statistika dan Komputasi
ISSN 2614-8811, 1858-1382
Published 2026-09-15
Publisher Department of Mathematics, Hasanuddin University
Language en
Abstract
Risk measurement is an important aspect in investment decision-making in the capital market. This study aims to compare the performance of three Value at Risk methods, namely Variance–Covariance, Historical Simulation, and Monte Carlo Simulation, in estimating investment risk in the shares of PT. Bank Negara Indonesia (Persero) Tbk. (BBNI.JK), and PT. Bank Rakyat Indonesia (Persero) Tbk. (BBRI.JK). The study used daily closing price data for the period April 30, 2024, to April 30, 2025, were analyzed through return calculation, Kolmogorov–Smirnov normality test, VaR estimation at a confidence level of 95%, and model validation using Kupiec Backtesting. The results of the study showed that the three methods produced relatively consistent VaR estimates, with the VaR value of BBNI.JK shares being greater than BBRI.JK, which indicates a higher level of investment risk. The results of backtesting show that all methods meet the validity criteria and are therefore suitable for use in risk measurement. This study shows that the selection of the Value at Risk method needs to be adjusted to the characteristics of the return distribution and the objectives of risk analysis.
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Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/jmsk/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc)
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<dc:title xml:lang="en">A Comparative Analysis of the Accuracy of the Value at Risk Estimation Methods on Indonesian Banking Stocks</dc:title>
<dc:creator xml:lang="en">Massalesse, Jusmawati</dc:creator>
<dc:creator xml:lang="en">Cindy, Cindy</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">Monte Carlo Simulation</dc:subject>
<dc:subject xml:lang="en">Mahematics</dc:subject>
<dc:subject xml:lang="en">risk management</dc:subject>
<dc:subject xml:lang="en">value at risk</dc:subject>
<dc:description xml:lang="en">Risk measurement is an important aspect in investment decision-making in the capital market. This study aims to compare the performance of three Value at Risk methods, namely Variance–Covariance, Historical Simulation, and Monte Carlo Simulation, in estimating investment risk in the shares of PT. Bank Negara Indonesia (Persero) Tbk. (BBNI.JK), and PT. Bank Rakyat Indonesia (Persero) Tbk. (BBRI.JK). The study used daily closing price data for the period April 30, 2024, to April 30, 2025, were analyzed through return calculation, Kolmogorov–Smirnov normality test, VaR estimation at a confidence level of 95%, and model validation using Kupiec Backtesting. The results of the study showed that the three methods produced relatively consistent VaR estimates, with the VaR value of BBNI.JK shares being greater than BBRI.JK, which indicates a higher level of investment risk. The results of backtesting show that all methods meet the validity criteria and are therefore suitable for use in risk measurement. This study shows that the selection of the Value at Risk method needs to be adjusted to the characteristics of the return distribution and the objectives of risk analysis.</dc:description>
<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
<dc:date>2026-09-15</dc:date>
<dc:type>info:eu-repo/semantics/article</dc:type>
<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
<dc:type xml:lang="en">Text</dc:type>
<dc:format>application/pdf</dc:format>
<dc:identifier>https://journal.unhas.ac.id/index.php/jmsk/article/view/53063</dc:identifier>
<dc:identifier>10.20956/a1t1yd15</dc:identifier>
<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 23 No. 1 (2026): September 2026; 136-146</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/53063/15009</dc:relation>
<dc:coverage xml:lang="en">The data for BBNI.JK and BBRI.JK cover the period from April 30, 2024, to April 30, 2025</dc:coverage>
<dc:rights xml:lang="en">Copyright (c) 2026 Jurnal Matematika, Statistika dan Komputasi</dc:rights>
<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
</oai_dc:dc>
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APA 7
Massalesse, J., & Cindy, C. (2026). A Comparative Analysis of the Accuracy of the Value at Risk Estimation Methods on Indonesian Banking Stocks. Jurnal Matematika, Statistika dan Komputasi, 23(1), 136–146. https://doi.org/10.20956/a1t1yd15
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IEEE
J. Massalesse and C. Cindy, “A Comparative Analysis of the Accuracy of the Value at Risk Estimation Methods on Indonesian Banking Stocks,” Jurnal Matematika, Statistika dan Komputasi, vol. 23, no. 1, pp. 136–146, 2026, doi: 10.20956/a1t1yd15.
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