Analisis Risiko Investasi Saham Sektor Perbankan Syariah Menggunakan Perhitungan Value at Risk (VaR) dengan Model Simulasi Monte Carlo


  • Marlinda Marlinda Magister Ekonomi Syariah, UIN Ar-Raniry Banda Aceh


Stock, Portfolio, Value At Risk (VaR), Monte Carlo Simulation


Risk is a fact that investors must face in stock investment activities. Investors need risk management and estimation to avoid higher risks due to stock price fluctuations that are difficult to predict. Risk management is a system of supervision and protection to minimize acceptable risks. The risk of a stock can be measured using Value at Risk (VaR). VaR is an estimate of the maximum risk obtained by investors under normal market conditions, periods and certain levels of confidence. One of the methods used to determine VaR is Monte Carlo Simulation which includes the generation of random numbers. This method is considered the most powerful in estimating VaR. This study aims to estimate stock risk on single assets and portfolios at BRIS and BTPS for the period January 1, 2021 - December 31, 2023, using VaR calculation with Monte Carlo simulation. The secondary data used in this study is the daily closing stock price data of PT Bank Syariah Indonesia Tbk (BRIS) and PT Bank BTPN Syariah Tbk (BTPS) during the period January 1, 2021-31 December 2023. Based on the results of the test analysis, it shows that on a single asset, PT Bank BTPN Syariah Tbk (BTPS) has a VaR level of IDR 20,014,498 higher than the VaR level of PT Bank Syariah Indonesia Tbk (BRIS) of IDR 19,947,342. In the calculation of the portfolio with the weight of BRIS = 50% and BTPS = 50% shares shows a loss of Rp15,529,484. The VaR value is lower than the VaR value of each asset, it can be concluded that the diversification effect can minimize the risk of stock investment.


Adrianto, A. D., Azhari, M., & Khairunnisa. (2018). Perhitungan Value at Risk (VaR) dengan Metode Historis dan Monte Carlo pada Saham Sub Sektor Rokok. Jurnal Riset Bisnis Dan Manajemen, 11(1), 1–8.

Amada, G., & Oktaviana, P. P. (2022). Pendekatan Copula – Conditional Value at Risk (CVaR) untuk Analisis Risiko Saham Perusahaan Sub Sektor Telekomunikasi. Jurnal Sains Dan Seni ITS, 11(6), 343–349.

Astuti, I., Burhanudin, & Suryawati, B. N. (2020). Analisis Risiko Portofolio dengan Menggunakan Metode Simulasi Monte Carlo (Studi Pada Perusahaan yang Terdaftar Indeks LQ45 di Bursa Efek Indonesia Periode 2015-2018). Distribusi - Journal of Management and Business, 8(1), 105–124.

Fauziah, A., & Atok, R. M. (2023). Analisis Risiko Saham Sektor Perbankan Menggunakan Value at Risk dan Expected Shortfall dengan Pendekatan VARMA-GARCH. Jurnal Sains Dan Seni ITS, 11(6), 413–419.

Fitriani, Falah, A. S., & Sugianto, W. (2024). Analisis Tingkat Risiko Investasi Saham pada Sektor Perbankan Terdaftar di BEI Tahun 2018-2022. Jurnal E-Bis: Ekonomi-Bisnis, 8(1), 382–394.

Heman, Kurniawan, A., & Idris, J. (2023). The Capability of Humanskill of the Madrasah Principal Leadership in Managing Human Resources at Senior High School in West Aceh. Jurnal Ilmiah Peuradeun, 11(1), 323–344.

Herman, Jamin, H., & Hasnadi. (2023). Poor Academic Supervision Authority of the Head of Public and Private Madrasah Aliyah ( MA ) in Improving Teacher Performance. Jurnal BIDAYAH : Studi Ilmu-Ilmu Keislaman, 14(1), 130–142.

Herman, Juliana, R., & Hasan, K. (2022). Creation and Movement of Action Plain For The Work Culture of Religious-Based Educational Organizations. Edukasi Islami: Jurnal Pendidikan Islam, 11(3), 889–902.

Herman, & Khalaf, O. I. (2023). Evidence from School Principals: Academic Supervision Decision- making on Improving Teacher Performance in Indonesia. Advances in Decision Sciences, 27(3), 46–71.

Horne, J. C. Van, & Wachowicz, J. M. (1997). Financial Management. New York: Prentice Hall.

Jogiyanto. (2009). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE.

Lahi, R., Atti, A., Kleden, M. A., & Guntur, R. D. (2023). Perhitungan Risiko Value at Risk (VaR) Aset Tunggal Menggunakan Pendekatan Metode Simulasi Monte Carlo (Studi Kasus: PT. Indofood CBP Sukses Makmur TBK dan PT. Astra International TBK). Jurnal Cakrawala Ilmiah Vol.2, 2(8), 3297–3310.

Mustafian, Mauliddin, & Abdal, A. M. (2024). Penerapan Value-at-Risk dan Conditional-Value-at-Risk dalam Pengukuran Risiko Portofolio Optimal Menggunakan Pendekatan Simulasi Monte Carlo. Jurnal Riset Dan Aplikasi Matematika (JRAM), 8(1), 39–50.

Rahmi, Z., & Juniar, A. (2019). Value at Risk pada Pembentukan Portofolio Optimal Saham Berbasis Syariah dengan Pendekatan Monte Carlo Periode 2015-2017. Jurnal Ilmu Manajemen Indonesia, 2(1), 53–65.

Simatupang, W., Aini, N. P. N., & Dasman, S. (2024). Analisis Risiko Investasi Saham Melalui Diversifikasi Portofolio Secara Domestik Dan Internasiaonal. Margin: Jurnal Lentera Managemen Keuangan, 2(1), 37–44.

Suryawati, B. N. (2019). Analisis Volatilitas Harga Saham Terkategori Indeks Konstituen di Bursa Efek Indonesia dengan Penggunaan Simulasi Monte Carlo. Journal of Management and Business, 7(1), 109–126.

Tandelilin, E. (2010). Teori Portofolio dan Analisis Investasi. Yogyakarta: Kanisius.

Tursina, A., Aminda, R. S., & Nurhayati, I. (2023). Analisis Value At Risk (VAR) dengan Metode Historis dan Monte Carlo dalam Harga Saham Sub Sektor Bank. JEBI: Jurnal Ekonomi Dan Bisnis, 1(5), 668–675.

Yuliah, Y., & Triana, L. (2021). Pengukuran Value at Risk pada Aset Perusahaan Dengan Simulasi Monte Carlo. Jurnal Valuasi: Jurnal Ilmiah Ilmu Manajemen Dan Kewirausahaan, 1(1), 48–57.




How to Cite

Marlinda, M. (2024). Analisis Risiko Investasi Saham Sektor Perbankan Syariah Menggunakan Perhitungan Value at Risk (VaR) dengan Model Simulasi Monte Carlo. ISTIFHAM: Journal Of Islamic Studies, 2(1), 72–81. Retrieved from