VaR — Confidence Level & Horizon Scaling — stdsquare²

VaR parametrik — efek confidence level & horizon

Nilai portofolio (Rp M)10.000

Volatilitas harian σ (%)1,2

Confidence level (%)99,0

Horizon (hari)10

z-score

2,33

α=(1−CL)

VaR 1-hari

Rp 280 jt

σ × z × nilai

VaR h-hari

Rp 884 jt

× √h (root-time)

VaR vs confidence level — kurva eksponensial ekor