DOI: https://doi.org/10.14710/medstat.15.2.151-162

IMPLEMENTATION OF STOCHASTIC MODEL FOR RISK ASSESSMENT ON INDONESIAN STOCK EXCHANGE

*Di Asih I Maruddani orcid scopus  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Trimono Trimono  -  Data Science Study Program, UPN “Veteran” East Java, Indonesia, Indonesia
Mas'ad Mas'ad  -  School of Sociology and Social Policy, University Park, The University of Nottingham, Nottingham, United Kingdom, United Kingdom
Open Access Copyright (c) 2022 MEDIA STATISTIKA under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract
Currently, financial assets become an alternative choice for investors in Indonesia to get maximum profits. The Indonesia Stock Exchange is the official capital market in Indonesia which is a place for trading financial assets. Stocks are listed as the most preferred financial asset by investors. In reality, stock investment is not a risk-free investment. The main risk that investors should face is the loss risk. This kind of risk can occur at any time. From that problem, this study aims to do risk assessment on the Indonesian stock market. The evaluation will be started with stock price index prediction using the Stochastic model (Geometric Brownian Motion Model and Jump Diffusion). Then, the result from that processes will be used to get loss risk prediction through the Adjusted Expected Shortfall model. By using the historical price of JKSE index from 01/08/21 to 31/08/22, Jump Diffusion is the best model to predict the JKSE index with MAPE value is 1.08%. Then, at the 95% confidence level and 1-day holding period, the expected loss risk using Adjusted Expected Shortfall model on 09/01/2022 is -0.02978.
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Keywords: Stock Investment, Risk, Stochastic Model, Adjusted Expected Shortfall

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Language : EN
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