ESTIMASI NILAI CONDITIONAL VALUE AT RISK MENGGUNAKAN FUNGSI GAUSSIAN COPULA

  • HERLINA HIDAYATI Faculty of Mathematics and Natural Sciences, Udayana University
  • KOMANG DHARMAWAN Faculty of Mathematics and Natural Sciences, Udayana University
  • I WAYAN SUMARJAYA Faculty of Mathematics and Natural Sciences, Udayana University

Abstract

Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn’t require the assumption of normal distribution. There fore it is suitable to be applied to financial data. To manage a risk the necessary measurement tools can help mitigate the risks. One measure that can be used to measure risk is Value at Risk (VaR). Although VaR is very popular, it has several weaknesses. To overcome the weakness in VaR, an alternative risk measure called CVaR can be used. The porpose of this study is to estimate CVaR using Gaussian copula. The data we used are the closing price of Facebook and Twitter stocks. The results from the calculation using 90%  confidence level showed that the risk that may be experienced is at 4,7%, for 95% confidence level it is at 6,1%, and for 99% confidence level it is at 10,6%.

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Author Biographies

HERLINA HIDAYATI, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
KOMANG DHARMAWAN, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
I WAYAN SUMARJAYA, Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University
Published
2015-11-24
How to Cite
HIDAYATI, HERLINA; DHARMAWAN, KOMANG; SUMARJAYA, I WAYAN. ESTIMASI NILAI CONDITIONAL VALUE AT RISK MENGGUNAKAN FUNGSI GAUSSIAN COPULA. E-Jurnal Matematika, [S.l.], v. 4, n. 4, p. 188-194, nov. 2015. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/16642>. Date accessed: 25 june 2022. doi: https://doi.org/10.24843/MTK.2015.v04.i04.p110.
Section
Articles

Keywords

portfolio; copula; CVaR; Gaussian copula

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