PENGUKURAN NILAI RISIKO PORTOFOLIO SAHAM PADA INDEKS LQ45 DI BIDANG TELEKOMUNIKASI MENGUNAKAN METODE KOPULA CLAYTON

The characteristic of copula is non strict on certain distribution assumptions, can explain nonlinier relationship, and easily construct through the marginals that do not need to come from same family. Copula will be useful for stock data has price charts fluctuate rapidly risk always follow in investing. relation between this study calculate value portfolio using VaR with generation Monte Carlo simulation Clayton four companies engaged telecommunications sector, namely EXCL.JK (PT XL Axiata Tbk), TLKM.JK Telekomunikasi Indonesia TOWR.JK Sarana Menara Nusantara TBIG.JK Tower Bersama Infrastructure Tbk) period 2 January 2020 31 December 2021. This resulted selected portfolios are EXCL TBIG which had highest -0,062741 at 99% confidence level, so when an investor invest Rp100.000.000,00 maximum estimated Rp.6.274.100 within one day.