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Value at Risk

(VaR)
Indo Rattan Co.
Syndicate 4
Anthony 29117005
Lazuardy 29117149
Harris 29117181
Andhika 29117296
Salla 29118903
Introduction
Indo Rattan Co. is a rattan exporter. Indo Rattan Co. has a long
relationship to Guan Dhong Furniture in Vietnam which always
buying rattan from Indonesia since 2000. Indo Rattan has a
contract to sell rattan for one year and rattan has been shipped
every month.

Based the contract, the export payment will be transfer to Indo


Rattan 6 months after the goods received and the currency is in
local currency of the buyer. The shipment from Jakarta port to
Hanoi is average 1 month.
Introduction
No. of Volume of
Transact Shipment Date Payment Date Transaction (Billion
ion VND)
1 29-Mar-18 29-Oct-18 20.000
2 28-Feb-18 28-Sep-18 30,000
3 31-Jan-18 31-Aug-18 15,000
4 02-Jan-18 02-Aug-18 10,000
Analysis
Date IDR to VND VND to IDR Deviations from Mean Squared Deviations

8/2/2018 Thursday 1.60846 0.62171 -0.01580 0.00025


8/3/2018 Friday 1.60809 0.62186 -0.01565 0.00024
8/5/2018 Sunday 1.60507 0.62303 -0.01448 0.00021
8/6/2018 Monday 1.61075 0.62083 -0.01668 0.00028
8/7/2018 Tuesday 1.61512 0.61915 -0.01836 0.00034
8/8/2018 Wednesday 1.61638 0.61867 -0.01884 0.00036
8/9/2018 Thursday 1.61034 0.62099 -0.01652 0.00027
----------------------------------------------
10/21/2018 Sunday 1.53897 0.64979 0.01228 0.00015
10/22/2018 Monday 1.53760 0.65036 0.01286 0.00017
10/23/2018 Tuesday 1.53715 0.65055 0.01305 0.00017
10/24/2018 Wednesday 1.53679 0.65071 0.01320 0.00017
10/25/2018 Thursday 1.53773 0.65031 0.01280 0.00016
10/26/2018 Friday 1.53486 0.65153 0.01402 0.00020
10/28/2018 Sunday 1.53552 0.65125 0.01374 0.00019
10/29/2018 Monday 1.53387 0.65195 0.01444 0.00021
Mean 0.637508 Sum 0.00831
Volatility 1.052%
Analysis
Histogram
20 120.00%

18
100.00%
16

14
80.00%
12
Frequency

10 60.00%
Frequency
8 Cumulative %
40.00%
6

4
20.00%
2

0 0.00%
-0.59% -0.45% -0.32% -0.18% -0.04% 0.09% 0.23% 0.36% 0.50% 0.64% 0.77% 0.91% More
Bin
Analysis
99% 95%
Z Score 2.33 1.64
Volatility 1.052% 1.303%
Value at Risk 2.448% 2.143%
Total Value at Risk of 1,836.3384 1,607.2124
Transaction (in Billion VND)
Total Loss 2.45% 2.14%
Conclusion
The suggestion will be depended on the profit margin of the
company, if the net profit margin of the company is larger than
total loss percentage (2.45% for 99% confidence level or 2.14%
for 95% confidence level) then we suggest to continue the export
as long as the company calculate the value at risk each month.