Risiko Pasar Saham Perbankan Syariah dengan Metode Standar Deviasi Markowitz dan Value At Risk (Var)

Abstract

This study describes the measurement of market risk in Islamic banking by calculating the Markowitz standard deviation and the market risk Value at Risk (VaR). The data used in this study are Islamic bank stocks in the Indonesia Stock Exchange, namely in JII or ISSI. Data obtained from reference sources and using secondary data. The observation period carried out is for 108 days from January 2 to June 11, 2020, with a daily period. The research methodology used to measure the greatest potential risk (loss) incurred in investing in the telecommunications stock index is the Markowitz standard deviation approach and the Value at Risk (VaR) using the Historical and Modeling (Analytical) methods. The results showed that the recommendations for efficient stock selection from the three banks were BRIS banks with an E (R) of 8.5% and a risk level of 1.33%. The lowest portfolio return of -0.1109% occurs on the 60th day and the highest portfolio return of 0.0769% occurs on the 47th day. Then On the daily 95% VAR, the lowest 5% return on a daily basis for BRIS is 5% from 108 days, occurs on the 85th day of -0.248% and the highest return occurs on the 47th day of 0.1444%. At the daily 95% VAR, the lowest 5% daily return of BTPN SYARIAH is 5% from 108 days, occurs on the 67th day of -0.247% and the highest return occurs on the 47th day of 0.758%. At the daily 95%, VAR with 5% lowest daily return of PANIN SYARIAH is 5% from 108 days. It does not happen, likewise, the highest return does not occur until the 108th day (the day of this research observation). If we have PANIN SYARIAH shares of Rp. 1 billion then there is no market risk (loss rate) at 95% daily. For a 5% possibility of tomorrow's portfolio loss on BRIS shares.

Keywords

• value at risk
• var, historical simulation
• analogical simulation
• risk
• return, standard deviation