Penerapan Teori Nilai Ekstrim dalam Pemodelan Risiko Investasi Pasar Negara Berkembang

Radian Januari  Situmeang

doi:10.31605/saintifik.v8i2.380

Radian Januari Situmeang Universitas Cenderawasih

DOI: https://doi.org/10.31605/saintifik.v8i2.380

Keywords: Peaks Over Threshold, VaR, Risiko Investasi, Nilai Ekstrim

Abstract

Pasar negara berkembang memiliki risiko yang besar. Hal tersebut diakibatkan karena ketidakstabilan ekonomi dan politik negara berkembang. Mengetahui keakuratan ukuran risiko investasi sangat bermanfaat untuk meningkatkan kewaspadaan investor terutama jika ingin berinvestasi dalam pasar negara berkembang seperti Argentina, Brazil, Meksiko, Indonesia, India, dan Korea. Karakter dari data pengembalian investasi pasar negara berkembang diselidiki. Pemodelan risiko pengembalian investasi dilakukan menggunakan metode Peaks Over Threshold (POT). Ukuran risiko yang digunakan adalah perhitungan nilai VaR dari masing-masing model sebagai acuan tingkat profitabilitas dan tingkat kerugian investasi pada masing-masing negara

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