OSREL stie-mce
Online Search and Retrieval Library
Faculty Research
ESTIMATING THE RISK OF MUTUAL IN INDONESIA BY EMPLOYING VALUE AT RISK (VAR)
| Detail | |
|---|---|
| Author | NEVI DANILA |
| ID | 202.710.123 |
| Published Date | 17-02-2005 |
Abstract
Previous studies on funds in Indonesia were conducted by Muhardi (2010),Dewi and Ferdian (2009). None of them measuring mutual funds` risk employing Value at Risk (VaR). This research examines the worst expected loss of mutual fund in Indonesia by employing modified VaR and modified Conditional Value at Risk (CvaR). We find that a majority of mutual fund In Indonesia has a VaR less than 2.97per cent for fixed income funds and protected funds,and less than 6.98per cent for mixed funds and equity funds. The study is very importance because by giving an alternative in measuring the performance of funds, the manager will have more perspective of risk. Moreover, the mutual fund companies are able to acknowledge the risk to their investors in terms of rupiah. Thus, if the expected worst loss occurs, the investors do not get panicking. The stability of financial market is needed for the stability of Indonesia`s economy. While for the regulators, they can set standard of mutual funds` risk. Finally, the academicians will have an alternative in measuring the performance of financial market.