VaR: Parametrik, Historis & Monte Carlo — stdsquare²

Konfigurasi Portofolio

Nilai portofolio (Rp)

Volatilitas harian σ (%)

Mean harian μ (%)

Confidence level

Horizon (hari)

Skewness empiris (Σ fat-tail)

VaR Parametrik

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VaR Historis (adj.)

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VaR Monte Carlo

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