Analisis value at risk (VAR) pada saham sektor perdagangan ritel barang konsumsi dengan simulasi Monte Carlo
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Abstract
Measuring the risk of an asset aims to mitigate risk and make investment decisions. This study aims to calculate risk using the Value at Risk (VAR) Monte Carlo simulation in the consumer goods retail trade sub-sector. After calculating the risk using Value at Risk (VAR), Backtesting using the Kupiec Test method to validate the computed Value at Risk (VAR) value. The objects studied are ten shares of the consumer goods retail trade sub-sector listed on the IDX for 2020 to 2021. The result of calculating the highest Value at Risk (VAR) at the 95% confidence level is PT Prima Cakrawala Abadi Tbk (PCAR) is minus 10.78% and the lowest Value at Risk by PT Envesal Putra Megatrading Tbk. (EPMT) which is minus 4.32%. Based on Backtesting using the Kupiec Test method, the VAR values for AMRT, HERO, MIDI, RANC, WICO, and EPMT stocks are valid, while the others are invalid.
Mengukur risiko suatu aset bertujuan untuk memitigasi risiko dan membuat keputusan investasi. Penelitian ini bertujuan untuk menghitung risiko dengan menggunakan metode simulasi Value at Risk (VAR) Monte Carlo pada sub sektor perdagangan eceran barang konsumsi. Setelah menghitung risiko menggunakan Value at Risk (VAR), Backtesting menggunakan metode Kupiec Test untuk memvalidasi nilai Value at Risk (VAR) yang dihitung. Objek yang diteliti adalah sepuluh saham sub sektor perdagangan eceran barang konsumsi yang terdaftar di BEI untuk tahun 2020 sampai dengan tahun 2021. Hasil perhitungan Value at Risk (VAR) tertinggi pada tingkat kepercayaan 95% adalah PT Prima Cakrawala Abadi Tbk (PCAR) minus 10,78% dan Value at Risk terendah oleh PT Envesal Putra Megatrading Tbk. (EPMT) yang minus 4,32%. Berdasarkan Backtesting menggunakan metode Kupiec Test, nilai VAR untuk saham AMRT, HERO, MIDI, RANC, WICO, dan EPMT adalah valid, sedangkan yang lainnya tidak valid.
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