Analisis Sensivitas dari Penentuan Risiko Memakai Value at Risk

Abstract

Investment is a fund allocation in the form of money or the other resources in which are expected to provide profitability in the future. The investors do not recognize the certain results that will be obtained on their investments. The case could be indicated that will be obtained on their investments The case could be indicated that investors will face many risk on their investments. Value at Risk (VaR0 is a method of examining market risk in determining the maximum loss on portfolio. VaR is a measure of expectation of the worst losses in normal market conditions during T period with certain level of trust. The purpose of this thesis was to develop the analytical formulation for stochastic programming of value at Risk so that the way of determining the sensitiveness of Var with conditional Calue at Risk (CVaR) model. CVaR model proposed in this thesis can analyse VaR so that the portfolio will always optimal