Analisis Value at Risk (VaR) dalam mengukur risiko pasar pada instrumen keuangan

Authors

  • Marsha Aura Aspasya Program Studi Perbankan Syariah, Universitas Islam Negeri Maulana Malik Ibrahim Malang

Keywords:

Value at risk, market risk, risk management, financial instruments, measuring instrument

Abstract

Market risk is one of the primary risks in investment activities arising from fluctuations in the prices of financial instruments such as stocks, bonds, and exchange rates. This uncertainty requires an accurate risk measurement method to support decision-making processes. This study aims to analyze the use of Value at Risk (VaR) as a tool for measuring market risk in financial instruments. The method used in this study is a literature review by examining various relevant national and international journals related to market risk measurement using VaR. The results show that VaR is capable of estimating the maximum potential loss within a certain period at a given confidence level, and it can be applied through historical, variance-covariance, and Monte Carlo simulation methods. However, VaR has limitations in capturing extreme risks (tail risk), therefore it needs to be combined with other methods such as Conditional Value at Risk (CVaR) to improve the accuracy of risk measurement.

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References

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Published

2026-07-10

How to Cite

Aspasya, M. A. (2026). Analisis Value at Risk (VaR) dalam mengukur risiko pasar pada instrumen keuangan. Maliki Interdisciplinary Journal, 4(11), 521–529. Retrieved from https://urj.uin-malang.ac.id/index.php/mij/article/view/32813

Issue

Vol. 4 No. 11 (2026): NOVEMBER

Section

Articles

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Copyright (c) 2026 Marsha Aura Aspasya

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