文章基本信息

标题：PERHITUNGAN VALUE AT RISK (VaR) DENGAN METODE HISTORIS DAN MONTE CARLO PADA SAHAM SUB SEKTOR ROKOK
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作者：Achmad Dimas ; Muhammad Azhari ; Khairunnisa Khairunnisa 等
期刊名称：Jurnal Riset Bisnis dan Manajemen
印刷版ISSN：1979-0600
出版年度：2018
卷号：11
期号：1
页码：1-8
DOI：10.23969/jrbm.v11i1.862
出版社：Universitas Pasundan
摘要：The government’s policy, the Indonesian Ulema Council’s (MUI) fatwa, the rise of cigarette issues and anti-smoking campaigns have been a major challenge for the tobacco industry in managing risks. Through this research, the issues will be measured by VaR to know the risk of the company’s shares of cigarette sub sector by using time series data and analyzed by using the simulation method of Historis and Monte Carlo. The results showed the VaR value of GGRM and HMSP stock with the historical method is 3.28 and 2.54%. While the value of VaR shares GGRM and HMSP with Monte Carlo method is 3.52% and 3.14%. Monte Carlo simulation gives greater result than Historical Simulation, because Monte Carlo simulation do iteration repeatedly by involving random number generation and many synthesize the data so that sample data becomes more which makes the calculation is bigger.
关键词：value at risk; simulasi historis; simulasi Monte Carlo; risk; return