PENGUKURAN RISIKO VAR DAN EXPECTED SHORTFALL PADA PREDIKSI HARGA MINYAK MENTAH DENGAN GEOMETRIC BROWNIAN MOTION

Abstract

Measuring the risk of crude oil commodity prices is very important for investors and policy makers, as crude oil plays an important role in economic growth. Commonly used risk measures are Value at Risk (VaR) and Expected Shortfall (ES). This study aims to calculate VaR and ES on West Texas Intermediate (WTI) crude oil commodity prices predicted using Geometric Brownian Motion (GBM). The steps taken include: calculating the predicted stock return value, conducting a normality test on the predicted stock return data, estimating parameters, calculating the VaR value using Monte Carlo simulation, and calculating the ES value. The results obtained show that the VaR value at the 90%, 95%, and 99% confidence levels is 0.02836; 0.03692; 0.05298 within the next one day and 0.06342, 0.08256, 0.11847 within the next five days. While the ES values at the 90%, 95%, and 99% confidence levels are 0.04212; 0.04937; 0.06356 in the period of one day ahead and 0.09419; 0.11039; 0.14212 in the period of five days ahead.