Year: 2026 | Month: April | Volume: 13 | Issue: 4 | Pages: 381-391
DOI: https://doi.org/10.52403/ijrr.20260438
Calculation of Value at Risk of Stock Portfolios at Bank Central Asia and Telkom Indonesia Using a Parametric Approach: Modeling Method (Analytical)
Nurcahya Yulian Ashar1, Agista Surya Bawana2, Humam Rosyadi3
1,2Department of Mathematics, Faculty of Sciences and Mathematics, Diponegoro University, Semarang, Indonesia.
3Department of Accounting, Politeknik Negeri Semarang, Semarang, Indonesia.
Corresponding Author: Agista Surya Bawana
ABSTRACT
The capital market plays an important role in the economy, particularly as a means of investment that is inseparable from risk. One of the main risks in stock investment is market risk arising from stock price fluctuations. Therefore, a risk measurement method is needed that is capable of estimating potential losses quantitatively. This study aims to calculate the Value at Risk (VaR) of the stock portfolios of Bank Central Asia Tbk (BBCA) and PT Telkom Indonesia (Persero) Tbk (TLKM) using a parametric approach through modeling (analytical) methods. The data used consists of daily closing stock prices from July 1, 2022, to December 29, 2022, which were processed into stock return data. Before calculating VaR, the return data was tested for normality using SPSS software to ensure compliance with the normal distribution assumption. Next, VaR was calculated by determining the average portfolio return, portfolio standard deviation, and 95% confidence level. The results of the study indicate that the modeling (analytical) method can be used to effectively estimate the maximum loss risk of the BBCA and TLKM stock portfolios under normal market conditions. The VaR value obtained can be used as a reference for investors in making investment decisions and in efforts to minimize portfolio risk.
Keywords: Value at Risk, Stock Portfolio, Market Risk, Stocks.
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