Track: Simulation Competition

Abstract

This study uses the Monte Carlo simulation method to calculate a stock portfolio's Value at Risk (VaR). Value at risk (VaR) is a standard method for evaluating the risk of loss in a portfolio of financial assets. The research findings predict the maximum loss that portfolio participants may incur. This study experimented 500 times to characterize the risk associated with invested assets. The hotel stocks portfolio on the Indonesian Stock Exchange consists of PT. Eastparc Hotel Tbk (EAST), PT Hotel Sahid Jaya International Tbk (SHID), and PT Dafam Property Indonesia Tbk (DFAM).. The VaR calculation assumes a 200,000,000 IDR capital investment in each share. According to the analysis, the results are unfavorable; thus, investors who purchase the three stocks would lose money. The VaR for EAST is -0.1886 with a maximum loss of IDR 371,242.76, the VaR for SHID is -0.5144 with a maximum loss of IDR 1,028,735.06, and the VaR for DFAM is -0.5339 with a maximum loss of IDR 1,077,704.16.

Keywords

Hotel stocks, Monte Carlo, Value at Risk