Analisis Value At Risk atas Investasi Komoditas Emas dengan Menggunakan Simulasi Monte Carlo di PT Valbury Asia Futures Yogyakarta

Muchtar, Fadil Ibnu (2025) Analisis Value At Risk atas Investasi Komoditas Emas dengan Menggunakan Simulasi Monte Carlo di PT Valbury Asia Futures Yogyakarta. Tugas Akhir thesis, Fakultas Bisnis dan Humaniora.

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Abstract

ABSTRACT Value at Risk Analysis of Gold Commodity Investment Using Monte Carlo Simulation at PT Valbury Asia Futures Yogyakarta Fadil Ibnu Muchtar 5180111017 In this final project, the Monte Carlo simulation method is employed to conduct a Value at Risk (VaR) analysis for gold prices 2023, specifically in gold futures trading brokered by PT Valbury Asia Futures. This report aims to explain how to measure Value at Risk in gold commodity futures trading using the Monte Carlo simulation and to determine the maximum potential loss in investment through VaR analysis in gold and commodity futures trading. PT Valbury Asia Futures Yogyakarta (PT VAF) is a futures brokerage firm specializing in trading within the financial, commodity, and currency markets. This project focuses on the closing price data for gold commodity futures trading in 2023. The data utilized is secondary data obtained through the documentation method, which includes company profiles and historical data on commodity futures trading. The author collected data on the closing prices of gold commodity futures for 2023. The method employed is descriptive analysis, utilizing Monte Carlo simulation and VaR analysis. The findings indicate that as the confidence level increases, the accuracy of the VaR value calculation also improves. The results of the VaR calculations using the Monte Carlo simulation method at 90%, 95%, and 99% confidence levels demonstrate an increase in VaR values corresponding to the higher confidence levels. At a 99% confidence level, the highest VaR value is US$ 0.147 in gold futures trading. Effective investment management is essential for managing asset risk levels. The results indicate that investing in gold futures carries a low-risk value. Keywords: Gold Investment, Gold Futures, VaR, Monte Carl

Item Type: Thesis (Skripsi, Tugas Akhir or Kerja Praktek) (Tugas Akhir)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Fakultas Bisnis dan Humaniora > S1 Akuntansi
Depositing User: Kaprodi S1 Akuntansi UTY
Date Deposited: 10 Oct 2025 04:33
Last Modified: 10 Oct 2025 04:33
URI: http://eprints.uty.ac.id/id/eprint/19299

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