Abstract
Value at Risk (VaR) with the Monte Carlo (MC) simulation is an estimate of the maximum loss over a given period of time and with a specific degree of confidence. MC VaR uses the Control Variates (CV) technique which is one of the reduction techniques in the MC method to improve the efficiency of VaR estimation. This study also aims to analyze the risk of the LQ45 indexed stock portofolio with Monte Carlo Control Variates (MCCV) VaR. In addition, this study compares MCCV VaR with standar MC VaR. The closing prices of the shares of PT Bank Negara Indonesia Tbk (BBNI) and PT Bank Central Asia Tbk (BBCA) were the source of the data for this study. The 95% confidence level is used for this study to estimate one-day MCCV VaR. The results obtained show that MCCV is able to reduce the variance of the estimate more quickly than the standar MC VaR. Thus, MCCV VaR is more efficient than the standard MC VaR.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
