VALUE AT RISK MENGGUNAKAN METODE MAKSIMUM ENTROPY BOOTSTRAPPING DAN FLEX MAKSIMUM ENTROPY BOOTSTRAPPING; VALUE AT RISK USING MAXIMUM ENTROPY BOOTSTRAPPING AND FLEX MAXIMUM ENTROPY BOOTSTRAPPING METHOD

NURMAULIDYA, AVISTA, Abdurakhman

2015 | Skripsi | FMIPA UGM

Value of risk remains as the danger value for investor and important measures of riskfor financial assets. as a result or consequence that may occur in a process that is ongoing or upcoming events. Risk management is the process of risk management that includes the identification, evaluation and control of risks that could threaten the continuity of business activities. The problem is how companies can measure the potential risk of occurrence of an event that can both predictable and unpredictable that can have an impact for the achievement of objectives of the Organization. The need to manage risk, such as credit risk and market risk in the banking and insurance companies has become a serious concern. Calculating Value at Risk (VaR) approach that uses a central or normal (traditional) is the basic indicator approach (BIA), standardized approach (SA) and alternative standardized approach (ASA), has been studied and understood not be exact due to using only the appropriate parameters by business line banking and can not accommodate the extreme event risk value. Recent observations indicate that (always) there is potential events - events that are extreme, where the frequency of occurrence is very low but, if it happens it will result in huge losses. This extreme phenomena are not included in the calculation of VaR The maximum entropy principle is based on the consideration estimating a probability distribution, you should choose the distribution that has value remains the largest uncertainty (ie, maximum entropy) consistent with the problems. Entropy can be maximized analytically. Which in combination with the use of algorithms bootstrappig weeks to megatasi some specific data. Maximum Entropy bootstrapping method is suitable for megatasi data have extreme values.

Kata Kunci : Value at Risk; Maximum Entropy; risk management; Extreme Value Theory; Bootsrapping