ABSTRACT
The purpose of this observation is to know Value at Risk (VaR) for each kind of stock investment in 1 day, 5 days, and 20 days later on maximum stock and minimum stock. This is a descriptive observation. The sample criteria is banking company which consistently survived at LQ45 in observation period over February 2009 until January 2013.
The data used is daily stock data; closing price and stock volume data. The data analyzing is usingVaR historical simulation method. Confidence level used is 95% and validated by using backtesting test.
The observation result shows that the biggest VaR on 1 day, 5 days, and 20 days later owned by PT Bank Republik Indonesia Tbk (BBRI); both the maximum stock and minimum stock. While the smallest VaR owned by PT Bank Central Asia Tbk (BBCA) for the maximum stock and minimum stock. Backtesting result shows that the model is valid to measure the maximum potential losses.
Key Words: Investment, Risk, Value at Risk, Historical Simulation, Backtesting.