摘要：In risk management, risk measurement plays
an important role in allocating capital as well as in
controlling (and avoiding) worse risk. Estimating the risk
value can be done by using a risk measure. The most
popular method for evaluating risk is Value at Risk
(VaR). But VaR does not fulfill the coherency as a
measure of risk effectiveness. In this paper, we propose
Expected Shortfall (ES) which has coherency nature. ES
is defined as the conditional expectation of losses beyond
VaR of the same confidence level over the same holding
period. For measuring ES, we use Monte-Carlo
Simulation Method. This method is applied for measuring
risk that will be faced by corn’s farmers due to the
changes in corn prices in Pemalang city. The results show
that the ES value is 0.085472 at 95% confidence level and
one-month holding period. This number means that a
farmer will face 8.5472% of investment as maximum loss
exceeding of VaR.
关键词：Corn; Expected Shortfall;
Monte-Carlo; Value at Risk
