scholarly journals PERAMALAN VOLATILITAS DAN ESTIMASI VALUE AT RISK (VaR) SAHAM BLUE CHIP PADA SEKTOR PERBANKAN

2021 ◽  
Vol 10 (4) ◽  
pp. 198
Author(s):  
NI KADEK JULIARINI ◽  
I WAYAN SUMARJAYA ◽  
KARTIKA SARI
Keyword(s):  
Value At Risk ◽  
Investment Decisions ◽  
Investment Risk ◽  
Volatility Forecasting ◽  
Market Capitalization ◽  
Closing Price ◽  
Second Tier ◽  
The Right ◽  
Stock Investments ◽  
Blue Chip

Investment is an activity to invest an asset to obtain a greater profit. The investment there's in great demand by investors are stock investments. Based on market capitalization, stocks are classified into first-tier, second-tier, and third-tier stocks. Stocks that have the highest market capitalization are first-tier or blue-chip stocks. Blue-chip stocks are stocks that are classified as main shares on the listing board on the IDX. Before investing, it's important to know the level of investment risk in order to make the right investment decisions. The purpose of this study is to determine the risk of investing in blue-chip stocks namely BRI, BCA, and Bank Mandiri through volatility forecasting using the GARCH, EGARCH, or TGARCH models. The data used is the daily closing price of shares for the period of 25 May 2005 to 21 May 2021 which was obtained through the Yahoo Finance website. Based on the research results, it's known that Bank Mandiri has the highest investment risk and BCA has the lowest investment risk. Based on these results, it can be suggested that investors who like risk can choose to invest in Bank Mandiri shares, and those who don't like risk can invest in BCA shares.

scholarly journals Research on Power Grid Investment Risk of Set-Analysis Method in New Electricity Reform

2018 ◽  
Vol 227 ◽  
pp. 02017
Author(s):  
Jianchang Lu ◽  
Dandan Xing
Keyword(s):  
Net Present Value ◽  
Risk Model ◽  
Power Grid ◽  
Investment Decisions ◽  
Investment Risk ◽  
Analysis Method ◽  
Present Value ◽  
Profit Model ◽  
Factors Affecting ◽  
Pair Analysis

In view of the change in the profit model of the power grid under the new power reform, If grid companies want to improve their economic efficiency, they must expand the scale of effective assets of fixed assets and increase the number of effective assets within the understanding of the demand for electricity.By determining the factors affecting the power grid investment in the new environment,a risk model for the power grid investment under the new power reform is constructed.First,this paper uses the set pair analysis method algorithm and derives the relevant formula to quantify uncertainties in grid investment risk.Then,it gets the results of the calculation of the degree of connection of each scheme and combine set pair events with a net present value less than 0 for each set evens.At last,based on the above results,we get the best investment plan.Verified by the case of the HBN grid company,it shows that the investment risk model established is feasible and can provide an appropriate reference for the new power companies to change their investment decisions.

scholarly journals Penentuan Harga Opsi Barrier Menggunakan Metode Trinomial Kamrad-Ritchken Dengan Volatilitas Model Garch

2019 ◽  
Vol 10 (1) ◽  
pp. 83-92
Author(s):  
S Sulastri ◽  
Lienda Novieyanti ◽  
Sukono Sukono
Keyword(s):  
Stock Price ◽  
Option Price ◽  
Barrier Options ◽  
Barrier Option ◽  
Market Conditions ◽  
Strike Price ◽  
Daily Data ◽  
Closing Price ◽  
The Right ◽  
Initial Price

Abstract. This study aims to minimize the violation of the assumptions of determining price options by taking into account the actual market conditions in order to obtain the right price that will provide high profits for investors. The method used to determine the option price in this study is the Kamrad Ritchken trinomial with volatility values that will be modeled first using GARCH. The data used in this study is daily data (5 working days per week) from the closing price of the stock price of PT. Bank Rakyat Indonesia, Tbk (BBRI. Based on the results of the research, the best model is GARCH (1,1). For the call up barrier option, increase the strike price with the initial price and barrier which causes the option price to call up the barrier "in" and "out" decreases, on the contrary to the put barrier option, an increase in strike price with the initial price and a barrier that causes the put barrier option price to both put up-in and put up-out. initial and barrier which still causes the call down barrier option price both in and out decreases, on the contrary in the put down barrier option, increasing strike price with the initial price and barrier which causes the put down barrier option price to increase in and out.Keywords: Barrier Options, Trinomial, Kamrad Ritchken, Volatility, GARCH  Abstrak. Penelitian ini bertujuan untuk meminimalkan pelanggaran asumsi-asumsi penentuan harga opsi dengan memperhatikan kondisi pasar yang sebenarnya sehingga diperoleh harga yang tepat yang akan memberikan keuntungan tinggi bagi investor. Metode yang digunakan untuk menentukan harga opsi dalam penelitian ini adalah trinomial Kamrad Ritchken dengan nilai volatilitas yang akan dimodelkan terlebih dahulu dengan menggunakan GARCH. Data yang digunakan dalam penelitian ini adalah data harian (5 hari kerja per minggu) dari harga penutupan harga saham PT. Bank Rakyat Indonesia, Tbk (BBRI). Berdasarkan hasil penelitian diperoleh model yang paling baik adalah GARCH (1,1). Untuk opsi call up barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi call up barrier baik "in" maupun "out" menurun, sebaliknya pada opsi put barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi put barrier baik put up-in maupun put up-out meningkat. Sedangkan untuk opsi call barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi call down barrier baik in maupun out menurun, sebaliknya pada opsi put down barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi put down barrier baik in maupun out meningkat.Kata Kunci :  Opsi Barrier, Trinomial, Kamrad Ritchken, Volatilitas, GARCH

scholarly journals RISK OF RETURNING DEPOSITO INVESTMENT RESULTS

2019 ◽  
Vol 3 (02) ◽  
Author(s):  
Djoko Sigit Gunanto
Keyword(s):  
Value At Risk ◽  
Risk Level ◽  
P Value ◽  
Investment Risk ◽  
Islamic Banks ◽  
Financial Reports ◽  
Net Return ◽  
Risk Return ◽  
Significant Probability ◽  
Level Of Risk

The purpose of this study is to understand the risk and return on investment of mudharabah deposits in Islamic banks using the Value at Risk (VaR) approach. The objects in this study are quarterly financial reports of Bank Syariah Mandiri, Bank BRI Syariah, and Bank Muamalat for three years, 2015-2017. VaR analysis results show that the average investment risk of mudharabah deposits for 3 years at Bank Syariah Mandiri was in 2015 amounted to 6.61% and net return of -0.53%, in 2016 the risk of 0.14% and net return of 3.21 %, in 2017 the risk is 0.17% and the net return is 0.32%. BRI Syariah Bank in 2015 was 0.08% and net return was 4.28%, in 2016 the risk was 0.07% and the net return was 3.77%, in 2017 the risk was 0.08% and the net return was 42.81% . and Bank Muamalat was in 2015 amounted to 0.63% and a net return of 0.04%, in 2016 a risk of 0.40% and a net return of 0.08%, in 2017 a risk of 0.14% and a net return of 0.26% . In addition there are differences in the level of risk and net return on Bank Syariah Mandiri, Bank BRI Syariah, and Bank Muamalat with a significant probability (p-value) for a risk level of 0.005 and a net return of 0.045. From the level of risk and net return for three years, BRI Syariah Bank is a bank that has a prospective value. Keywords: VaR, Risk, Return, Mudharabah Deposit

International Stock Investment Portfolio Management Strategies for Emerging Economies

2014 ◽  
pp. 368-384
Author(s):  
H. Cem Sayin ◽  
Sinan Çakan
Keyword(s):  
Portfolio Management ◽  
Management Strategies ◽  
Investment Decisions ◽  
Management Process ◽  
Investment Portfolio ◽  
Future Expectations ◽  
Investment Style ◽  
Stock Investment ◽  
The Future ◽  
Stock Investments

People or companies canalize their money to consumption or retain it for the future. Their desire to use their savings to obtain extra income gave birth to the concept of investment. They do this in a frame of expectations about the future. Expectations are the foundation of all investment decisions. This chapter focuses on how an investment and portfolio management process should be and explains different portfolio management strategies. It also includes different types of stock investments. The chapter intends to teach how one can choose a stock and manage money effectively. For this aim, the chapter includes value investment style, growth investment sytle, technical investment style, momentum investment style, fundamental investment style, and beyond. It is very important to know which strategy best fits your aims and your characteristics, so you will be able to learn this through this chapter. In addition, it is important to know how these strategies can used together effectively. In this chapter, an investor will find answers to questions about stock investment.

scholarly journals ESTIMASI NILAI VaR PORTOFOLIO MENGGUNAKAN FUNGSI ARCHIMEDEAN COPULA

2017 ◽  
Vol 6 (1) ◽  
pp. 15
Author(s):  
AULIA ATIKA PRAWIBTA SUHARTO ◽  
KOMANG DHARMAWAN ◽  
I WAYAN SUMARJAYA
Keyword(s):  
Value At Risk ◽  
Stock Return ◽  
Archimedean Copula ◽  
Descriptive Statistics ◽  
Time Interval ◽  
Clayton Copula ◽  
Financial Products ◽  
Closing Price ◽  
Pareto Tail ◽  
Stock Portfolio

Value at Risk explains the magnitude of the worst losses occurred in financial products investments with a certain level of confidence and time interval. The purpose of this study is to estimate the VaR of portfolio using Archimedean Copula family. The methods for calculating the VaR are as follows: (1) calculating the stock return; (2) calculating descriptive statistics of return; (3) checking for the nature of autocorrelation and heteroscedasticity effects on stock return data; (4) checking for the presence of extreme value by using Pareto tail; (5) estimating the parameters of Achimedean Copula family; (6) conducting simulations of Archimedean Copula; (7) estimating the value of the stock portfolio VaR. This study uses the closing price of TLKM and GGRM. At 90% the VaR obtained using Clayton, Gumbel, Frank copulas are 0.9562%, 1.0189%, 0.9827% respectively. At 95% the VaR obtained using Clayton, Gumbel, Frank copulas are 1.2930%, 1.2522%, 1.3152% respectively. At 99% the VaR obtained using Clayton, Gumbel, Frank copulas are 2.0327%, 1.9164%, is 1.8678% respectively. In conclusion estimation of VaR using Clayton copula yields the highest VaR.

Analysis of the concept of «efficiency» and methods for evaluating the effectiveness of enterprises

2020 ◽  
pp. 85-101
Author(s):  
Dmitry I. Zaykin ◽  
Irina V. Kosorukova
Keyword(s):  
Research Result ◽  
External Environment ◽  
Investment Decisions ◽  
The State ◽  
Economic Science ◽  
Minimal Cost ◽  
Advantages And Disadvantages ◽  
The Right ◽  
Comparative Description

Relevance. The article is devoted to the analysis of the concept of «efficiency», which is a rather complex category of economic science. The essence of this concept is revealed. Today, evaluating the effectiveness of enterprises is a necessary requirement for maintaining and improving their competitiveness, and making the right management decisions. The purpose of the study is to develop a system for evaluating performance that would take into account the results of long-term investment decisions and changes in the external environment of enterprises. The objectives of the study are to analyze the modern interpretation of the concept of «efficiency», analyze approaches to assessing the effectiveness of enterprises and determine practically significant approaches to assessing the effectiveness of enterprises. Research result. The analysis of the studied definitions of the concept of «efficiency» has shown that today there is no single interpretation of this category. Common to all definitions is the idea of efficiency as the ability of the system to achieve the goal with minimal cost. As a result of the study, the systematization of the main approaches and methods for evaluating the efficiency of the state of enterprises was carried out. The article presents a comparative description of methods for evaluating the effectiveness of enterprises, which have their own characteristics, advantages and disadvantages, which determines their use in different situations and for different industries. Special attention is paid to modern approaches to assessing the effectiveness of enterprises based on the assessment of strategic efficiency.

scholarly journals Market capitalization and Value-at-Risk

2013 ◽  
Vol 37 (12) ◽  
pp. 5248-5260 ◽  
Author(s):  
Alexandra Dias
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Market Capitalization

scholarly journals The Impact of Investment Decision and Funding on Financial Performance and Firm Value

2019 ◽  
Vol 8 (2) ◽  
pp. 103
Author(s):  
Hadi Santoso
Keyword(s):  
Data Analysis ◽  
Financial Performance ◽  
Firm Value ◽  
Stock Exchange ◽  
Investment Decision ◽  
Investment Decisions ◽  
The Right ◽  
The Impact ◽  
Selection Of

Managers who are responsible for the management of companies are faced with two important decisions - investment and funding. The right investment decisions and choice of funding sources are important because they affect the company's financial performance. The selection of the types of assets to be invested and the right types of financing sources result in optimal returns for the company. It reflects good company performance and future prospects. In addition, optimal return is a good sign for investors. Companies that perform well experience increase in the value of their firm. This study examined the effect of investment decisions and the selection of appropriate sources of funds on the performance of the company and the consequent impact on the firm value. The study was conducted in two parts. The first part examined the effect of investment decisions on long-term assets with long-term funding on the rate of return and firm value. The second part examined the effect of investment decisions on the company's short-term assets and funding for financial performance and firm value. The case study used in this research is a consumer goods sub-sector company listed on the Indonesia Stock Exchange in the period 2010 to 2017. Path analysis is the data analysis tools that was used. The results of data analysis showed that the asset structure has an effect on financial performance and firm value. The capital structure affects the financial performance but does not affect the firm value of the company. Financial performance was measured by ROI.

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