Abstract
Value at Risk is a tool used to calculate the value of risk in investing. The purpose of this study was to estimate VaR in the portfolio using the rotated Copula Gumbel approach, which originated from the Archimedean copula family. Copula can provide an overview of the relationship between random VaRiables on a quantil scale which is very useful in explaining the interrelationships in extreme events. This VaR calculation is used in portfolios from the Indonesian stock index (JKSE), Malaysia (KLSE), Singapore (STI), and South Korea (KOSPI), in the period of June 1, 2016 to June 1, 2018 (519 data). VaR is calculated using a daily period with a confidence level of 99%. So that the VaR of each portfolio is obtained, JKSE-KLSE is 1.41%, JKSE-STI is 1.38%, JKSE-KOSPI is 1.39%, KLSE-STI is 1.44%, KLSE-KOSPI is 1.42%, KOSPI-STI is 1.48%. The highest risk level that can be derived from the portfolio contains a combination of the Singapore stock index (STI) and the South Korean stock index (KOSPI).
Highlights
a tool used to calculate the value of risk in investing
which originated from the Archimedean copula family
Copula can provide an overview of the relationship between random VaRiables
Summary
Saat ini banyak cara investor melakukan investasi seperti pertimbangan menggunakan portofolio untuk mendapatkan keuntungan dan menambah kekayaan. Risiko dalam investasi adalah ketidakpastian yang dihadapi karena harga suatu aset atau investasi menjadi lebih kecil daripada return investasi yang diharapkan. Para investor lebih memilih berinvestasi di negara yang memiliki reputasi baik dalam dunia perinvestasian karena harapan akan keuntungan yang didapat lebih terjamin. Disebutkan juga oleh Embrechts, et al (2001), bahwa mengasumsikan harga saham yang membentuk portofolio memiliki struktur korelasi linear akan dapat menimbulkan masalah yang serius dalam pengambilan keputusan. Peneliti membahas nilai risiko dari indeks saham Indonesia, Korea Selatan, Malaysia, dan Singapura. Karena copula dapat memodelkan keterkaitan satu variabel acak dengan variabel acak lainnya, maka peneliti menggunakan salah satu fungsi copula dari keluarga Archimedian copula yang dirotasi yaitu rotated Gumbel copula
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