EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN

Maryanto, Dr. Abdurakhman, S.Si, M.Si.

2014 | Tesis | S2 Matematika

Menurut Christoffersen (1998), model Value at Risk yang baik harus memenuhi tiga syarat yaitu: memenuhi uji unconditional coverage, memenuhi uji independence test, dan memenuhi uji conditional coverage. Uji unconditional coverage menguji seberapa banyak violation atau banyaknya data yang melebihi nilai VaR yang sudah ditetapkan. Jika rata-rata jumlah violation melebihi batas presentase VaR maka model tersebut dikatan model VaR yang tidak baik. Uji Independence test menguji seberapa banyak violation yang bergerombol. Jika violation banyak yang bergerombol maka model VaR tersebut juga bukan model VaR yang baik karena akan beresiko menimbulkan kebangkrutan. Uji conditional coverage adalah uji unconditional coverage dan Indpendence test secara bersamaan. Backtesting dengan metode Christoffersen berbeda dengan metode backtesting POF Kupiec (1995) yang hanya menguji pada uji unconditional coverage, sehingga metode Christoffersen lebih lengkap dibandingkan dengan metode POF Kupiec.

According to Christoffersen (1998), the property of a good VaR model are correct unconditional coverage, correct independence test and correct conditional coverage. Unconditional coverage test calculate how much violations exceed the VaR. If average of violations exceeded the percentage of VaR value, so it is called bad model. Independence test calculate how much violations clustering. If a model VaR has much violations clustering, so it is called bad model, because the risk of bankruptcy would be much higher than if the violations came scattered randomly through time. Conditional coverage test is simultaneously testing both unconditional coverage and independence test. Backtesting base on Christoffersen method different way with Kupiec method. Kupiec method only test on unconditional coverage, so Christoffersen method more complete than Kupiec method.

Kata Kunci : backtesting, unconditional coverage, independence test, conditional coverage