Value At Risk (VAR) Harga Minyak Mentah

Rachmat Mardiana
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Rachmat Mardiana: Staff, Directorate of investment and Capital Market Analysis, National Development Planning Agency (Bappenas)

Economics and Finance in Indonesia, 2001, vol. 49, 175-194

Abstract: Value at Risk (VaR) has emerged as a standard tool for measuring and reporting financial market risk. One common method for computing VaR is calculated from historical data. There are two important developments in emerging Value at Risk (VaR). First, the development of volatility models for measuring and forecasting volatility dynamics began in academics with Engle (1982). Second, the introduction of RiskMetrics by J. P. Morgan (1996) has enabled companies or institutions with just a minimum of computational power and technical ability to compute simple measures of market risk for a given portfolio of assets. Value at Risk (VaR) is a measure of potential loss from an unlikely adverse movement in the market prices. Value at Risk (VaR) was originally used as an information tool. It was used to communicate to management a felling for exposure to movement in the market prices. Value at Risk (VaR) was developed to provide a single number that could encapsulate information about the risk in an asset or a portfolio. We will furthermore adapt this valuation technique to predict the movement of crude oil prices.

Date: 2001
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