期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2019
卷号：9
期号：9
页码：1363-1370
DOI：10.6007/IJARBSS/v9-i9/7003
语种：English
出版社：Human Resource Management Academic Research Society
摘要：The main objective of this study is to evaluate the performance of Value at Risk using Historical Simulation method for Kijang Emas investment, the official gold bullion coin of Malaysia. Previously, a common investor using variance or standard deviation which simply measures variation in risk. However, majority of the investors fail to relate it with the return of investment because downside risk is not being quantified in monetary terms. Thus, the Value at Risk (VaR) concept has been introduced to estimates the loss likely to be suffered by the investor with the certain level of probability express in any chosen currency such as Malaysia Ringgit, dollar, baht, etc. Result show that VaR concept is successfully been implemented and Historical Simulation method proven to accurately estimate the maximum potential loss under normal market condition. Therefore, domestic investors are recommended to use VaR for decision making purposes about investment in Kijang Emas.
