The Use Of Copulas in Estimating The Value at Risk (VaR) Of The IDX Development Board and Main Board Indices with Monte Carlo Simulation

DOI

10.2991/icbmr-18.2019.54How to use a DOI?

Keywords

Value at Risk, Copula, Monte Carlo Simulation, Indonesian Stock Market

Abstract

This article discusses the use of copulas to estimate Value at Risk (VaR) with Monte Carlo simulation in the Indonesian stock market. As an illustration, we construct a portfolio which consists of the IDX Main Board and Development Board Indices in equal proportion (50% each). Based on Kupiec’s Proportion of Failure Test (POF), the estimated 99% VaR with the Monte Carlo-Copula method is not rejected. Therefore, it can be concluded that the Monte Carlo-Copula method can be used to estimate VaR in the Indonesian stock market.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Ridho Wiryarahadi
AU  - Yogo Purwono
PY  - 2019/03
DA  - 2019/03
TI  - The Use Of Copulas in Estimating The Value at Risk (VaR) Of The IDX Development Board and Main Board Indices with Monte Carlo Simulation
BT  - Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
PB  - Atlantis Press
SP  - 333
EP  - 337
SN  - 2352-5428
UR  - https://doi.org/10.2991/icbmr-18.2019.54
DO  - 10.2991/icbmr-18.2019.54
ID  - Wiryarahadi2019/03
ER  -