EXPECTED SHORTFALL DENGAN SIMULASI MONTE-CARLO UNTUK MENGUKUR RISIKO KERUGIAN PETANI JAGUNG

In risk management, risk measurement plays an important role in allocating capital as well as in controlling (and avoiding) worse risk. Estimating the risk value can be done by using a risk measure. The most popular method for evaluating risk is Value at Risk (VaR). But VaR does not fulfill the cohe...

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Bibliographic Details
Published in:Media statistika (Online) 2019-07, Vol.12 (1), p.117-128
Main Authors: Rita Rahmawati, Agus Rusgiyono, Abdul Hoyyi, Di Asih I Maruddani
Format: Article
Language:English
Online Access:Get full text
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Summary:In risk management, risk measurement plays an important role in allocating capital as well as in controlling (and avoiding) worse risk. Estimating the risk value can be done by using a risk measure. The most popular method for evaluating risk is Value at Risk (VaR). But VaR does not fulfill the coherency as a measure of risk effectiveness. In this paper, we propose Expected Shortfall (ES) which has coherency nature. ES is defined as the conditional expectation of losses beyond VaR of the same confidence level over the same holding period. For measuring ES, we use Monte-Carlo Simulation Method. This method is applied for measuring risk that will be faced by corn’s farmers due to the changes in corn prices in Pemalang city. The results show that the ES value is 0.085472 at 95% confidence level and one-month holding period. This number means that a farmer will face 8.5472% of investment as maximum loss exceeding of VaR.
ISSN:1979-3693
2477-0647
DOI:10.14710/medstat.12.1.117-128