Track: Optimization

Abstract

Stocks as an investment product in the capital market have risks. Therefore, investors must consider the return (yield) and the risk of an investment product. This research uses one of the methods of the Extreme Value Theory (EVT), namely Peaks Over Threshold (POT) with the aim of estimating the value of risk in the General Insurance company for the period 2016-2020. One method that can be used to measure the level of risk in stocks is the calculation of Value. at Risk (VaR). There are several calculation phases in this research, namely, the first is by calculating the return value based on the daily closing stock price of each company then doing descriptive statistical analysis and QQ-Plot to identify the characteristics of the stock return data. Next, determine the threshold value to obtain extreme data and perform data suitability tests with Generalized Pareto Distribution (GPD). Then, estimate the parameters using the maximum likelihood method to calculate the VaR value. Based on the research results, the smallest VaR value with a 99% confidence level is in the range of 4.94% to 5.70%.