Abstract
Risk assessment and evaluation becomes essential for financial institution to measure the potential risk of their counterparties. In middle of 2016 until first quarter of 2017, there is national program from Indonesian government so-called Tax Amnesty. One subsector that has potential to receive positive impact from the Tax Amnesty program is property and real estate. This work evaluates the risk of top five companies in term of capital share listed in Indonesia stock exchange (IDX). To do this, the Value-at-Risk (VaR) with ARMAX-GARCHX approach is employed. The ARMAX-GARCHX simultaneously models the adaptive mean and variance of stock return of each company considering exogenous variables, i.e. IDR/USD exchange rate and Jakarta Composite Index (JCI). The risk is evaluated in scheme of time moving window. The risk evaluation using 5% quantile with window size 500 transaction days perform better result compare to other scenarios. In addition, duration test is used to test the dependency between shortfalls. It informs that series of shortfall are independent.
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