RISIKO PADA PORTOFOLIO SAHAM

Abstract

Investments in stock portfolios has higher volatility or uncertainty and a description of the risks of the investment itself Therefore we need a risk management process objectively to measure, monitor, control, reporting and decision making in setting the right investment.

There are many risk factors in the investment portfolio of stocks but in general this is determined by Unsystematic Risk and Systematic Risk. The most prominent risk of financial risk above is Systematic Risk.

Risk assessment of the investment portfolio of shares Value-at-Risk (VaR) available through various methods including: Delta-Normal Method, Historical Simulation Method and Monte Carlo Simulation Method. Each method has advantages and disadvantages of its own. Delta-Normal method has advantages when applied to the asset or the portfolio normally distributed, but this may be a weakness if applied to an asset or a portfolio of is non-normal distribution h is necessary to compare the VaR with a better method, even outside of the methods described in this paper (if any).

Key words: Risk, Value at Risk, Delta Normal Method, Historical Simulation Method, Monte Carlo Simulation Method