Open AccessComparison of Variance Covariance and Historical Simulation Methods to Calculate Value At Risk on Banking Stock Portfolio
Author(s) -
Maria Yus Trinity Irsan,
Evelyn Priscilla,
Siswanto Siswanto
Publication year - 2022
Publication title -
jurnal matematika, statistika dan komputasi/jurnal matematika statistik dan komputasi
Language(s) - English
Resource type - Journals
eISSN - 2614-8811
pISSN - 1858-1382
DOI - 10.20956/j.v19i1.21436
Subject(s) - portfolio , value at risk , econometrics , confidence interval , stock (firearms) , statistics , covariance , variance (accounting) , modern portfolio theory , portfolio optimization , actuarial science , mathematics , economics , financial economics , risk management , finance , engineering , accounting , mechanical engineering