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In the business world, almost all investments have risks. There for there is a need for a risk calculation that can be a judgment for investors in investing.To avoid that investors must be able to anticipate the level of risk with a high return. One way that an investor can do to minimize risk and get the expected benefits is to form a portfolio. There for this study was conducted to calculate the risk in the formation of an optimal portfolio using the covariance variance method.This study is also focused on the fact that the researchers still have several differences of opinion, and it is known that there is still not much study using the variance-covariance approach in Indonesian banking companies. The question Jurnal Manajemen Volume 10 no 2, Juli-Desember 2020 e-ISSN 2627-7872/2088-8554 125 proposed in this research is how to construct an optimum portfolio of banking stocks in Indonesia based on the Markowitz method and the portfolio calculation of Value at Risk using the variance-covariance method at the closing price of banking shares in Indonesia.The novelty of this study is use a long period of time at the closing price of the daily stock and using the covariance variance method in analysis Value at Risk with objects more than two companies in one portfolio.The results shown that calculation of the VaR portfolio At a confidence level of 95%, it produces an average VaR value of 0.044956. This can be defined is a confidence as much as 95 % that would suffer losses that investors wo not be more than rp 449.560,891.In other words, there is a chance that Rp.449,560,891 would not surpass 5 per cent of the losses suffered by investors in portfolio.

Analisis Value At Risk Dalam Pembentukan Portofolio Optimal (Studi Kasus Perusahaan Perbankan Di Indonesia)