Value at Risk yang memperhatikan sifat statistika distribusi return
AbstractBasel II Accord implicitely demands the usage of the recent statistical approaches to enrich the risk measurement in financial analysis. A widely known aspect in risk analysis today is the Value at Risk. We showed that the conventional VaR measurement regarding to the usage of normality as a basic principles is not met with the statistical properties discovered in a lot of financial data showing a-normality. The paper shows the comparative analysis of two methods to measure VaR: the one with normality basis and the other one realizing the two statistical moments, i.e.: skewness and kurtosis. The simulation results show that the latter gives better accuracy.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 895.
Date of creation: 27 Apr 2006
Date of revision:
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hokky Situngkir & Yohanes Surya, 2004.
"Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia,"
- Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance 0405005, EconWPA.
- Situngkir, Hokky & Surya, Yohanes, 2006. "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper 896, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.