Analisis Tail Value at Risk Pada Saham Blue Chip dengan Pendekatan Copula Gaussian

Abstract

When doing investments, investors usually want high returns with low risk. However, the fact that often occurs is that high profits are obtained with high risk (high return high risk), and vice versa. Therefore, to help investors manage the risk, the Value at Risk (VaR) instrument is used. VaR measures the probability of losses occurring, but VaR has the disadvantage that it is not subadditive, so the Tail Value at Risk (TVaR) measures of risk can be used to assess the average loss that exceeds the value of VaR. TVaR is a risk measurement system that predicts the highest loss from an investment within a certain timeframe with a specific level of certainty. When calculating TVaR, financial records are frequently not normally distributed. Therefore, the Gaussian Copula method was chosen due to its flexibility in handling the normality assumption of stock return. In this study, the Gaussian Copula is applied to Blue Chip stocks that aim to analyze TVaR. The data that is used in this study is the last or daily closing price of BBCA and ICBP stocks from April 3, 2023 to April 3, 2024. The analysis shows that with a weight of 30% on BBCA stock and 70% on ICBP stock the worst possible risk of loss is 2.0151%; 2.3574%; and 2.9591%. At 50% weight of each of the two stocks, the lowest risk of loss is 1.6524%; 1.8889%; and 24088%. And finally the second combination with a weight of 70% BBCA shares and 30% ICBP shares, the worst potential risk of loss is 1.44%; 1.8889%; and 2.9591%. the worst risk of loss is 1.4494%; 1.7173%; and 2.3052%. These values reflect the investment risk percentage that may happen in the next one day.