ANALISIS BACKTESTING UNTUK VALUE AT RISK METODE EKSPANSI CORNISH-FISHER DENGAN UJI KUPIEC

Abstract

Returns and risks are important to pay attention before investing. Value at Risk (VaR) is a tool for measuring risk. VaR measures the worst-case loss at a certain level of confidence. Methodology and return distribution assumptions are important in estimating VaR. The classic VaR method can only be used for normally distributed returns. Cornish-Fisher Expansion (CFE) VaR doesn’t require distributional assumptions. VaR CFE takes into account skewness and kurtosis. The Covid-19 pandemic had a negative impact, but several companies still carrying out Initial Public Offerings (IPO). This research uses data on closing prices of PT Saraswanti Anugerah Makmur Tbk with returns that are not normally distributed. This company IPO during the Covid-19 pandemic. ECF VaR calculation with an initial investment of IDR. 1,000,000.00, a 95% confidence level results in a risk of Rp. 98,490.7 the next day. Backtesting uses the Kupiec Test to test the validity of the VaR model. The VaR obtained is valid for calculating the risk of SAMF because the probability of a violation occurring equal to the specified α. The number of violations according the Kupiec criteria table is between 16 and 36, namely 34 violations and the Likelihood Ratio value, namely LR=1,11735 alpha=0,05.