Musytari : Jurnal Manajemen, Akuntansi, dan Ekonomi

Vol. 25 No. 1 (2025): Musytari: Neraca Manajemen, Akuntasi, dan Ekonomi, ISSN 3025-9495
Articles

PERHITUNGAN RISIKO PERUSAHAAN DENGAN VALUE AT RISK (VAR) METODE SIMULASI MONTE CARLO PADA PT ASTRA INTERNATIONAL TBK (PERIODE JANUARI 2022– DESEMBER 2024)

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  • Thalitha Neila,
  • Dalizanolo Hulu
Thalitha Neila
Universitas Pembangunan Jaya
Dalizanolo Hulu
Universitas Pembangunan Jaya

Published 2025-12-28

Keywords

  • Value at Risk, Monte Carlo, PT Astra International Tbk, Risk Management

How to Cite

PERHITUNGAN RISIKO PERUSAHAAN DENGAN VALUE AT RISK (VAR) METODE SIMULASI MONTE CARLO PADA PT ASTRA INTERNATIONAL TBK (PERIODE JANUARI 2022– DESEMBER 2024). (2025). Musytari : Jurnal Manajemen, Akuntansi, Dan Ekonomi, 25(1), 5411-5420. https://cibjournal.com/index.php/musytari/article/view/4891

Abstract

This study aims to measure and describe the level of investment risk in PT Astra International Tbk (ASII.JK) shares during the period January 2022–December 2024. Using a quantitative descriptive approach, this study applies the Monte Carlo simulation method to obtain Value at Risk (VaR) estimates at various confidence levels. The analysis process includes calculating stock returns, testing data distribution, determining statistical parameters, and generating simulated return values that form the basis for calculating potential losses. The results show that ASII.JK stock returns follow a normal distribution, thus fulfilling the assumptions for applying the Monte Carlo method. The VaR values obtained for confidence levels of 99%, 95%, and 90% are Rp1,092,877,755.00; Rp656,559,125.00; and Rp423,959,278.00 from the initial capital of Rp1,000,000,000.00. These findings indicate that ASII.JK shares have a fairly high level of risk, influenced by the high volatility of daily returns throughout the observation period. Based on these results, investors are advised to pay attention to the potential daily loss limit, adjust their risk management strategy, and consider their personal risk profile when investing in ASII.JK shares.

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