Analysis of Incremental and Component of Value-at-Risk in the Stocks Investment Portfolio
Sukono1, Eman Lesmana2, Dedi Rosadi3, Mustafa Mamat4, Agung Prabowo5, Mohamad Razali Abdullah6, Hafizan Juahir7, Mohd Khairul Amri Kamarudin8
1Sukono, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Bandung, Indonesia.
2Eman Lesmana, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Bandung, Indonesia.
3Dedi Rosadi, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Gajah Mada, Yogyakarta, Indonesia.
4Mustafa Mamat, Faculty of Informatics and Computing, Universiti Sultan Zainal Abidin, Gong Badak Campus, Terengganu, Malaysia.
5Agung Prabowo, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Jenderal Soedirman, Purwokerto, Indonesia.
6Mohamad Razali Abdullah, Faculty of Applied Social Science, Universiti Sultan Zainal Abidin, Gong Badak Campus, Terengganu, Malaysia.
7Hafizan Juahir, East Coast Environmental Research Institute (ESERI), Universiti Sultan Zainal Abidin, Gong Badak Campus, Terengganu, Malaysia.
8Mohd Khairul Amri Kamarudin, East Coast Environmental Research Institute (ESERI), Universiti Sultan Zainal Abidin, Gong Badak Campus, Terengganu, Malaysia.
Manuscript received on 16 February 2019 | Revised Manuscript received on 07 March 2019 | Manuscript Published on 08 June 2019 | PP: 584-588 | Volume-7 Issue-5S4, February 2019 | Retrieval Number: E11230275S419/19©BEIESP
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: In the formation of investment portfolios in stock assets, investors often raise questions: actually how much component each stock contributes to portfolio risk. Also, every time a portfolio structure is changed, is there a risk change in the investment portfolio. This paper aims to determine the incremental and component of Value-at-Risk in the formation of an investment portfolio. To solve these problems used several methods as follows: Incremental Value-at-Risk (Ivar) and Component Value-at-Risk (CVaR) used for the measurement of investment risk on some stocks. IVaR to measure changes in the value of a portfolio against changes in the composition or weight of the allocation of funds. Whereas CVaR for identifying elements and composition in the portfolio. IVaR assessment on stock portfolios using the before and after approach, and the delVaR approach. Based on the results of the analysis it can be shown that IVaR estimation using the delVaR approach is more efficient and practical compared to the before and after approach. So the delVaR approach is seen as more practical in its use in incremental measurements and Value-at-Risk components.
Keywords: Before & After Approach, Component, DelVaR , Value-At-Risk, Incremental.
Scope of the Article: Component-Based Software Engineering