1,720,961 research outputs found
Backtesting Untuk Value At Risk Pada Data Return Saham Bank Syariah Menggunakan Quantile Regression
Get PDFBank syariah menjadi salah satu sektor industri yang berkembang pesat di Indonesia. Risiko terkait dengan aktivitas perbankan tidak dapat dihilangkan tetapi dapat dikurangi. Value at Risk (VaR) merupakan suatu metode pegukuran risiko secara statistik yang mengestimasi kerugian maksimum yang mungkin terjadi atas suatu instrument pasar modal pada tingkat keyakinan tertentu. Para pelaku pasar (investor) dapat menilai potensi keuntungan dan kerugian investasi dengan memperhatikan return saham. Namun, data return yang digunakan biasanya tidak berdistribusi normal, sehingga pendekatan mean dan varian untuk mengitung VaR tidak bisa digunakan. Oleh karena itu, digunakan metode Monte Carlo Simulation yang menghasilkan return bangkitan simulasi yang berdistribusi normal. Perhitungan VaR pada satu periode ke depan dilakukan dengan metode sliding window dengan ukuran window 250, sehingga peramalan VaR yang diperoleh sejumlah 425 yaitu sebanyak window yang terbentuk. Maka diperlukan nilai rata-rata sebagai nilai harapan VaR untuk semua window. Nilai VaR untuk kuantil ke-95% dan 99% masing-masing adalah Rp.17.081.140,- dan Rp.23.770.381,- untuk nilai investasi sebesar Rp.1.000.000.000,-. Untuk menguji kelayakan model VaR dilakukan backtesting dengan menggunakan metode Kupiec Test dan Quantile Regression. Kedua metode backtesting tersebut memberikan kesimpulan yang sama yakni nilai VaR yang diperoleh valid dan layak digunakan pada penaksiran risiko saham PNBS.
=============================================================================================== Islamic banking is rapidly growing industrial sector in Indonesia. The risk associated with banking activities can not be eliminated but can be minimized through the appropriate risk management. Value at Risk (VaR) is a one of statistical methods in risk management that estimates the maximum loss that may occur on a capital market instrument at a certain confidence level. Market participant (investors) can assess the potential benefits and disadvantages of investment by taking into account stock return. However, the return data used is usually not normally distributed, so that the mean and variance approach for calculating VaR can not be used. Therefore the Monte Carlo Simulation method is employed that produces the simulated return that follows normal distribution. The calculation of VaR on the next one period was conducted using a sliding window with a window size of 250, therefore the forecasting of VaR is obtained using 425 as many windows formed. The average value is used as an expectation value of VaR for all windows. The VaR value for quantile 95% and 99%, are Rp.17.081.140,- and Rp.23.770.381,- respectively for an investment of Rp.1000.000.000,-. To test the feasibility of this approachy the backtesting performed using Kupiec Test and Quantile Regression. Both the backtesting methods give the same conclusion that the VaR obtained are valid and fit for the use in risk assessment of PNBS return
MODEL BLACK-SCHOLES PUT-CALL PARITY HARGA OPSI TIPE EROPA DENGAN PEMBAGIAN DIVIDEN PADA PENUTUPAN HARGA SAHAM MEDIA NUSANTARA CITRA Tbk
Get PDFInvestasi saham merupakan salah satu pilihan menarik bagi para investor. Selain memiliki saham secara langsung, investor juga dapat memiliki turunan dari saham, salah satunya adalah opsi. Model Black Scholes merupakan sebuah model yang berguna untuk menentukan harga opsi. Asumsi model ini adalah saham tidak memberikan pembayaran dividen, tidak ada biaya transaksi, suku bunga bebas risiko, serta perubahan harga saham mengikuti pola random. Tujuan penelitian ini adalah untuk menentukan model Black-Scholes harga opsi jual tipe Eropa dengan pembagian dividen dan put-call parity harga opsi tipe Eropa dengan pembagian dividen pada penutupan harga saham Media Nusantara Citra Tbk. Sehingga diperoleh Model Black-Scholes untuk harga opsi jual tipe Eropa dengan pembagian dividen pada keadaan constant market dan continous market masing-masing adalah (S,t) = K N(-d2) – (S-q N(-d1), sehingga diperoleh (S,t) = Rp. 29,40 dan (S,t) = , sehingga diperoleh (S,t) = Rp. 38,02. Sedangkan Model Black-Scholes untuk put-call parity harga opsi tipe Eropa dengan pembagian dividen pada keadaan constant market dan continous market masing-masing adalah (S,t) + K = (S,t) + (S ), sehingga diperoleh (S,t) = Rp. 202,43 dan , sehingga diperoleh (S,t) = Rp. 202,0
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Application of the Average Based Fuzzy Time Series Lee Method for Forecasting World Gold Prices
Get PDFGold is a investment that investors are interested in because it has relatively low risk and gold investment is not affected by inflation. Gold prices always change from time to time, so it is necessary to forecast gold prices as a basis for investors in making decisions. The forecasting method used in the fuzzy time series lee method. The purpose of this research is determine the world prices and determine the accuracy of the gold price forecasting value ortained using fuzzy time series lee method. The results of this research are forecasting gold prices in the period November 20, 2023 of US$ 63,89/grams and relatively the level of forecasting accuracy based on MAPE value of 0,540091% included in the very good criteria in forecasting gold prices
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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