Penggunaan Metode Simulasi Monte Carlo Dalam Mencari Value At Risk (Var) Pada Portofolio

Abstract

In Risk Management, Value at Risk (VaR) is a concept that used to measure risk. VaR can estimate the loss value that can be take by investor in the next period. In portfolio, VaR using the distribution of returns historical to find means and standard deviations as parameters. Monte Carlo simulation method use characteristics of historical data that are assumed normal distribution to generate random numbers. Based on a hypothetical scenario, the estimated risk of future price can determined. VaRs can be derived from the cumulative distribution of future prices or rates for given confidence levels.