PERHITUNGAN VALUE AT RISK DENGAN MENGGUNAKAN METODE SIMULASI MONTE CARLO SAHAM PT UNILEVER INDONESIA (PERIODE 2022–2024)
Published 2026-01-10
Keywords
- Value at Risk, Monte Carlo Simulation, Stock Risk, PT Unilever Indonesia, Capital Market.
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Abstract
This study aims to analyze the investment risk level of PT Unilever Indonesia Tbk’s stock using the Value at Risk (VaR) method based on Monte Carlo Simulation. The data used consists of historical stock prices from the period 2022–2024. The Monte Carlo Simulation method is employed to generate a distribution of possible stock price movements, allowing for the estimation of potential losses at a given confidence level. The results of this research are expected to reveal the daily VaR value that reflects the maximum potential loss under normal market conditions. The findings are intended to provide insights for investors and stakeholders in understanding the risk level of PT Unilever Indonesia’s stock and to serve as a reference for investment decision-making.
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