Market Capitalization Significance in Value-At-Risk Estimation: Evidence From Indonesia  

Oleh:

Wijaya, Kelvin

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Mini Economica Media Komunikasi Ilmu Ekonomi no. 44 (Apr. 2015), page 45-73.
Topik: risk management; Value at Risk; internal risk model; bank

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM89 Non-tandon: tidak ada Tandon: 1

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Isi artikel

This research contributes to the study of economic variable significance in the estimation of Value at Risk (VaR) in Indonesia. This research is one of the earliest study to incorporate economic variable in the risk management estimation, this is done in the spirit of putting some degree of reality on the model. We test the performance of different VaR models for portfolios with different market capitalization. We then found that VaR performance varies across different market capitalization. Based on this finding, we also found that incorporation of market capitalization would improve the VaR estimation performance. This research provides a positive contribution in the area of risk management in Indonesia.

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