Value at Risk yang memperhatikan sifat statistika distribusi return

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Value at Risk yang memperhatikan sifat statistika distribusi return

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Situngkir, Hokky

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Hokky Situngkir

Abstract

Basel 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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 895.

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Date of creation: 27 Apr 2006
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Handle: RePEc:pra:mprapa:895

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Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository 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 Other Model Applications
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-12-01 (All new papers)
NEP-RMG-2006-12-01 (Risk Management)

References listed on IDEAS
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," Finance 0405005, EconWPA. [Downloadable!]
Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Quantitative Finance Papers cond-mat/0403465, arXiv.org. [Downloadable!]

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Cited by:
(explanations, 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.)

Situngkir, Hokky & Surya, Yohanes, 2006. "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper 896, University Library of Munich, Germany. [Downloadable!]

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