Market Ratio Analysis Using Value at Risk (VaR) with The Monte Carlo Simulation Method to Predict Change Bank Profit
Year: 2025
Type: article
Abstract: This study aims to analyze market ratios to predict changes in stock earnings in 2023. This research uses Value at Risk with a Monte Carlo simulation with data obtained from the official website of the stock exchange and interest rates. The object of research is closing data on bank stock prices and interest rates. Data is taken from the official websites of IDX, yahoo finance and BI. The banks used in this study are state-owned banks, private banks and international banks in Indonesia. For state-owned banks, namely PT. Bank Rakyat Indonesia (Persero) Tbk. Private Bank namely PT. Bank Central Asia Tbk. and International Bank namely PT. Bank OCBC NISP Tbk. This study also uses interest rates from Bank Indonesia Certificates. Based on the results of the test analysis, it shows that the bank that has the highest risk VaR level using the Monte Carlo simulation method is PT. Bank Central Asia Tbk. and the smallest is PT. Bank OCBC NISP Tbk. The results of the prediction of changes in PT. Bank Rakyat Indonesia (Persero) Tbk. in 2023 it is (-69532.495) which is predicted to decrease. Prediction of changes in PT. Bank Central Asia Tbk. in 2023 is (25445.002) which is predicted to increase. Prediction of changes in PT. Bank OCBC NISP Tbk. of (-93912.493) which is predicted to decrease
Authors: Tulus Joseph Herianto, Johannes Silalahi
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4412460623