Business, Management and Accounting
2 years ago

Gumbel Copula Redefines Risk Assessment for Telecommunication Stocks.

BAREKENG JURNAL ILMU MATEMATIKA DAN TERAPAN
THE APPLICATION OF GUMBEL COPULA TO ESTIMATE VALUE AT RISK WITH BACKTESTING IN TELECOMMUNICATION STOCK
Alimatun Najiha, Erna Tri Herdiani, Georgina Maria Tinungki

Paper Summary

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The researchers used the Gumbel Copula method to estimate the Value at Risk (VaR) for telecommunication stocks, which helps measure the maximum potential loss of an investment. They found that the traditional VaR method based on normal distribution doesn't accurately reflect market conditions, leading to higher portfolio risk. By using the Gumbel Copula method, they calculated VaR values of 0.076 and 0.231 at different confidence levels. Backtesting confirmed that these VaR values were valid for assessing the risk of PT. XL Axiata Tbk and PT. Telkomunikasi Indonesia Tbk.