Value-at-Risk Estimation with Normal Distribution Approach on Stock Return of BBNI and BBRI

https://doi.org/10.47194/orics.v3i4.78

Authors

Abstract

This paper discusses risk analysis on a single stock return. Stock data analyzed are shares of BBNI and BBRI. The method used is Value-at-Risk with a normal distribution approach. The steps are, after obtaining stock returns, then the value-at-risk (VaR) is estimated using a normal distribution approach. Then a back-test is carried out to measure the performance of risk measures. The results of the analysis show that VaR for BBNI and BBRI produces a small QPS close to zero. This shows that VaR with the normal distribution approach is more consistent and can be used to measure risk for BBNI and BBRI. 

References

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Published

2022-12-05

How to Cite

Susanti, D. (2022). Value-at-Risk Estimation with Normal Distribution Approach on Stock Return of BBNI and BBRI. Operations Research: International Conference Series, 3(4), 143–148. https://doi.org/10.47194/orics.v3i4.78

Issue

Vol. 3 No. 4 (2022): Operations Research International Conference Series (ORICS), December 2022

Section

Articles
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