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Value at Risk yang memperhatikan sifat statistika distribusi return

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  • Situngkir, Hokky

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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Bibliographic Info

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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  1. Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance, EconWPA 0405005, EconWPA.
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Cited by:
  1. Situngkir, Hokky & Surya, Yohanes, 2006. "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper 896, University Library of Munich, Germany.

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