ICBP

Thn Bulan Close Price Return

9,714.65
1 Jan-19 9,218.78 -0.0510
2 Feb-19 8,407.34 -0.0880
3 Mar-19 8,767.98 0.0429
4 Apr-19 8,835.60 0.0077
5 May-19 9,151.16 0.0357
6 Jun-19 9,781.37 0.0689
2019
7 Jul-19 11,015.47 0.1262
8 Aug-19 10,992.62 -0.0021
9 Sep-19 10,626.96 -0.0333
10 Oct-19 10,352.71 -0.0258
11 Nov-19 10,192.74 -0.0155
12 Dec-19 10,398.42 0.0202
13 Jan-20 9,392.86 -0.0967
14 Feb-20 9,347.15 -0.0049
15 Mar-20 9,027.20 -0.0342
16 Apr-20 7,450.30 -0.1747
17 May-20 8,547.27 0.1472
18 Jun-20 8,410.15 -0.0160
2020
19 Jul-20 9,565.95 0.1374
20 Aug-20 9,425.62 -0.0147
21 Sep-20 9,028.01 -0.0422
22 Oct-20 9,261.90 0.0259
23 Nov-20 8,957.84 -0.0328
24 Dec-20 8,513.46 -0.0496
25 Jan-21 8,022.30 -0.0577
26 Feb-21 8,607.01 0.0729
27 Mar-21 8,139.24 -0.0543
28 Apr-21 7,671.47 -0.0575
29 May-21 7,624.69 -0.0061
30 Jun-21 7,601.30 -0.0031
2021
31 Jul-21 7,881.80 0.0369
32 Aug-21 7,811.80 -0.0089
33 Sep-21 8,445.80 0.0812
34 Oct-21 8,109.89 -0.0398
35 Nov-21 8,349.82 0.0296
36 Dec-21 8,373.82 0.0029
37 Jan-22 8,157.87 -0.0258
38 Feb-22 7,054.16 -0.1353
39 Mar-22 7,318.09 0.0374
40 Apr-22 8,229.86 0.1246
41 May-22 9,165.61 0.1137
2022
42 Jun-22 8,469.79 -0.0759
2022
43 Jul-22 7,965.92 -0.0595
44 Aug-22 8,507.35 0.0680
45 Sep-22 9,564.62 0.1243
46 Oct-22 9,933.44 0.0386
47 Nov-22 9,835.09 -0.0099
48 Dec-22 9,933.44 0.0100
49 Jan-23 9,958.03 0.0025
50 Feb-23 9,810.50 -0.0148
51 Mar-23 10,400.61 0.0602
52 Apr-23 11,507.05 0.1064
53 May-23 11,138.24 -0.0321
54 Jun-23 11,015.30 -0.0110
2023
55 Jul-23 11,200.00 0.0168
56 Aug-23 11,075.00 -0.0112
57 Sep-23 10,350.00 -0.0655
58 Oct-23 11,550.00 0.1159
59 Nov-23 10,575.00 -0.0844
60 Dec-23 11,775.00 0.1135
0.0056
Tahun Return
2019 0.0072
2020 (0.0129)
2021 (0.0003)
2022 0.0175
2023 0.0164

ICBP ASII
Mean 0.05550 -0.0022
Standar Deviasi 0.69213 0.9139
 ASII
Close Price Return
6,682.20
5,654.17 -0.154 Tahapan
5,772.79 0.021 1
6,029.80 0.045 2
5,891.41 -0.023 3
6,016.30 0.021 4
5,652.90 -0.060 5
5,390.44 -0.046 a. nilai return secara random
5,329.87 -0.011 b. estimasi kerugian maksimum
5,612.52 0.053 c. menghitung var
5,296.10 -0.056
5,642.39 0.065
5,173.88 -0.083
4,501.69 -0.130
3,177.66 -0.294
3,136.92 -0.013
3,886.52 0.239
3,910.97 0.006
4,332.17 0.108
4,290.11 -0.010
3,751.75 -0.125
4,563.50 0.216
4,484.56 -0.017
5,098.01 0.137
5,161.48 0.012
4,569.18 -0.115
4,463.41 -0.023
4,653.79 0.043
4,442.25 -0.045
4,247.13 -0.044
4,057.99 -0.045
4,492.16 0.107
4,728.59 0.053
5,179.95 0.095
5,004.53 -0.034
4,939.53 -0.013
4,744.55 -0.039
5,026.19 0.059
5,697.79 0.134
6,564.38 0.152
6,369.40 -0.030
5,892.02 -0.075
 5,625.21 -0.045
6,203.30 0.103
5,892.02 -0.050
5,914.25 0.004
5,454.20 -0.078
5,138.66 -0.058
5,409.12 0.053
5,499.27 0.017
5,409.12 -0.016
6,085.26 0.125
5,814.80 -0.044
6,665.26 0.146
6,739.04 0.011
6,345.52 -0.058
6,124.17 -0.035
5,681.45 -0.072
5,400.00 -0.050
5,650.00 0.046
5,125.00 -0.093
-0.0003

ICBP ASII
Expected Return 0.0056 (0.0022)
Standar Deviasi 0.6921 0.9139
Simulasi Pertama 0.8507 0.7762

ICBP ASII
Expected Return 0.8507 0.7762
Standar Deviasi - -
VaR 0.8507 0.7762
VaR @100juta
dengan α 0.05 Rp 850,671 Rp 776,175
Mengumpulkan data harga penutupan
Menghitung return Return PT Indofood CBP Sukses Makmur Tb
Uji normalitas data return 0.2000
Menentukan mean dan standar deviasi
Hitung var dengan monte carlo 0.1500

a. nilai return secara random 0.1000

b. estimasi kerugian maksimum
c. menghitung var 0.0500

0.0000
19 19 19 19 20 20 20 20 21 21 21 21 22 22 22 22 23
a n- pr- Jul- ct- a n- pr- Jul- ct- a n- pr- Jul- ct- a n- pr- Jul- ct- a n-
J
-0.0500 A O J A O J A O J A O J A

-0.1000

-0.1500

-0.2000

Return Saham ASII

0.300

0.200

0.100

0.000
19 19 19 19 20 20 20 20 21 21 21 21 22 22 22 22 23 23 23
a n- pr- Jul- ct- a n- pr- Jul- ct- a n- pr- Jul- ct- a n- pr- Jul- ct- a n- pr- Jul-
J A
-0.100 O J A O J A O J A O J A O

-0.200

-0.300

-0.400
Simulasi Monte
Carlo ICBP ASII
1 0.851 0.776
2 0.851 0.776
3 0.851 0.776
4 0.851 0.776
5 0.851 0.776
6 0.851 0.776
7 0.851 0.776
8 0.851 0.776

9 0.851 0.776
10 0.851 0.776
11 0.851 0.776
12 0.851 0.776
13 0.851 0.776
14 0.851 0.776
15 0.851 0.776
16 0.851 0.776
17 0.851 0.776
18 0.851 0.776
19 0.851 0.776
20 0.851 0.776
21 0.851 0.776
22 0.851 0.776
23 0.851 0.776
24 0.851 0.776
25 0.851 0.776
26 0.851 0.776
27 0.851 0.776
28 0.851 0.776
29 0.851 0.776
30 0.851 0.776
31 0.851 0.776
32 0.851 0.776
33 0.851 0.776
34 0.851 0.776
35 0.851 0.776
36 0.851 0.776
37 0.851 0.776
38 0.851 0.776
39 0.851 0.776
40 0.851 0.776
41 0.851 0.776
42 0.851 0.776
43 0.851 0.776
44 0.851 0.776
45 0.851 0.776
46 0.851 0.776
47 0.851 0.776
48 0.851 0.776
49 0.851 0.776
50 0.851 0.776
51 0.851 0.776
52 0.851 0.776
53 0.851 0.776
54 0.851 0.776
55 0.851 0.776
56 0.851 0.776
57 0.851 0.776
58 0.851 0.776
59 0.851 0.776
 60 0.851 0.776
61 0.851 0.776
62 0.851 0.776
63 0.851 0.776
64 0.851 0.776
65 0.851 0.776
66 0.851 0.776
67 0.851 0.776
68 0.851 0.776
69 0.851 0.776
70 0.851 0.776
71 0.851 0.776
72 0.851 0.776
73 0.851 0.776
74 0.851 0.776
75 0.851 0.776
76 0.851 0.776
77 0.851 0.776
78 0.851 0.776
79 0.851 0.776
80 0.851 0.776
81 0.851 0.776
82 0.851 0.776
83 0.851 0.776
84 0.851 0.776
85 0.851 0.776
86 0.851 0.776
87 0.851 0.776
88 0.851 0.776
89 0.851 0.776
90 0.851 0.776
91 0.851 0.776
92 0.851 0.776
93 0.851 0.776
94 0.851 0.776
95 0.851 0.776
96 0.851 0.776
97 0.851 0.776
98 0.851 0.776
99 0.851 0.776
100 0.851 0.776
Sukses Makmur Tbk

2 1 t - 2 1 - 2 2 r- 2 2 l - 2 2 t - 2 2 - 2 3 r- 2 3 l - 2 3 t - 2 3
n n
Oc J a Ap J u Oc J a Ap J u Oc

SII

2 2 2 2 3 3 3 3
-2 -2 l-2 -2 -2 -2 l-2 -2
a n Apr Ju Oct Ja n Apr Ju Oct