VaR & CVaR Stress Test Portofolio

Nilai portofolio (Rp jt)20.000

σ harian portofolio (%)0,75

Tingkat kepercayaan95%

Skenario stress (historis)GFC 2008

VaR 1-bulan

Rp 1.130 jt

parametrik

CVaR 1-bulan

Rp 1.414 jt

expected shortfall

Stress Loss

Rp 5.300 jt

GFC 2008

Portofolio Rp 20.000 jt, σ 0,75%/hari. VaR 95% 1-bulan Rp 1.130 jt, CVaR Rp 1.414 jt. Stress GFC 2008: kerugian −Rp 5.300 jt.