ESTIMATION OF VALUE AT RISK IN ISLAMIC STOCKS USING MONTE CARLO SIMULATION IN JAKARTA ISLAMIC INDEX (JII) PERIOD 2017-2020

Abstract

The purpose of this study is to determine the Value at Risk (VaR) in the Islamic stock’s portfolio with the Monte Carlo simulation in the Jakarta Islamic Index during 2017 – 2020. The data analysis technique employed in this study was descriptive statistical analysis, in which the analysis carried out to describe or provide information and overview of the object to be studied using a population and sample without making general conclusions. In this study, the data used in the mining sector were ADRO, ANTM, INCO and PTBA. From the results of the study, it is revelaed that the calculation of the average VaR value obtained are Rp. 1,182,813 at 95% confidence level in a period of one day. It can be interpreted that if an investor invests initial funds in a portfolio consisting of ADRO, ANTM, INCO and PTBA stocks with a fund of Rp. 10,000,000, the maximum loss that will be experienced by the investor in the next period (1 day after the period) with a confidence level of 95 % will not exceed Rp.1.182.813 or it can be said that there is a 5% possibility that investment losses in the portfolio consisting of ADRO, ANTM, INCO and PTBA stocks will exceed Rp.1.182.813.