Measuring risk based on skewed t distribution approach
Penulis/Author
EVY SULISTIANINGSIH (1); Prof. Dr.rer.nat. Dedi Rosadi, S.Si.,, M.Sc. (2); Prof. Dr. Abdurakhman, S.Si., M.Si. (3)
Tanggal/Date
14 2021
Kata Kunci/Keyword
Abstrak/Abstract
This paper analyses a Skewed t Distribution approach to estimate Value at Risk
(VaR) as a tool that can measure a risk investment. The method can estimate an investment risk
that can overcome the shortcoming of classical VaR, which cannot capture the existence of fat
tail and skewness. The application of the method was utilized to evaluate the individual risk of
four stocks taken from the NYSE Index, namely Advance Micro Devices Inc (AMD), The
Coca-Cola Company (KO), Pfizer Inc. (PFE), and Walmart Inc (WMT). It can be summarized
from the result of the analysis that VaR (in several confidence levels) based on the distribution
approach is powerful in risk measurement and can give an alternative to the investor for
estimating the risk.
