Abstract
The Covid-19 pandemic caused the price of gold produced by PT Aneka Tambang (Antam) to experience a high increase following the world gold price, while stock investment decreased. Measuring risk is significant in financial analysis; this is related to investment funds, which are quite large and narrow about public funds. This study analyzes the risk data on Antam gold price and Antam stock closing price with an estimated Shortfall (ES). The method used to measure the risk of investing in stocks is ES. ES is the expectation of a conditional loss that exceeds Value at Risk (VaR). To compute ES data showing deviations from normality and Cornish-Fisher expansion. The volatility measurement model used is the autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) model.This study found that the ES value of Antam gold price was smaller than Antam stock price.
Highlights
The Covid-19 pandemic caused the price of gold produced by PT Aneka Tambang (Antam) to experience a high increase following the world gold price, while stock investment decreased
The volatility measurement model used is the autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) model.This study found that the Expected Shortfall (ES) value of Antam gold price was smaller than Antam stock price
On the Validity of Value-at-Risk: Comparative Analysis with Expected Shortfall
Summary
Salah satu bentuk pengukuran risiko yang populer dalam analisis risiko keuangan di bidang perbankan yaitu Value at Risk (VaR), model ini di syaratkan oleh Basel Committee on Banking Supervision. Diantara kelemahan tersebut adalah VaR hanya mengukur persentil dari distribusi keuntungan atau kerugian tanpa memperhatikan setiap kerugian yang melebihi tingkat VaR, selain itu VaR tidak koheren karena tidak memiliki sifat subaditivitas [1]. Perlu diteliti metode untuk menentukan risiko yang dapat mengatasi kelemahan-kelemahan tersebut, salah satunya dengan menggunakan Expected Shortfall (ES). Selain itu ES dengan Simulasi Monte-Carlo juga dapat digunakan untuk mengukur risiko kerugian petani jagung [7]. Untuk itu perlu dilakukan suatu analisis risiko harga jual emas Antam dan investasi saham Antam menggunakan ES. Penelitian ini bertujuan untuk menganalisis risiko pada data harga emas Antam dan harga penutupan saham Antam dengan estimasi Expected Shortfall (ES)
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