Measuring Stock Investment Risk of PT Bank Syariah Indonesia Tbk Using Monte Carlo Value at Risk

Abstract

Indonesia's Islamic capital market has grown rapidly, with PT Bank Syariah Indonesia Tbk (BSI) emerging as one of its actively traded Sharia-compliant issuers. However, the growth of Islamic equity investment is accompanied by short-term stock-price volatility that exposes investors to potential downside risk. This study examines the historical return behavior of PT Bank Syariah Indonesia Tbk (BRIS) in the context of the company's fundamental performance, measured by Earnings Per Share (EPS), and estimates its one-day downside investment risk using Value at Risk (VaR). A quantitative descriptive design was applied to secondary data comprising 474 daily BRIS closing prices from November 2023 to October 2025 and quarterly EPS data for 2021–2025. Daily returns, descriptive statistics, and stock-price volatility were analyzed, while VaR was estimated using a Monte Carlo simulation with normally distributed simulated returns at 99%, 95%, and 90% confidence levels. The results show that BRIS daily returns fluctuated between -11.11% and 12.32%, indicating substantial short-term price volatility, while Annualised EPS showed an overall upward trend from 2021 to 2025, reflecting improving company-level fundamental performance. The Monte Carlo VaR estimates indicate one-day potential loss thresholds of 6.32% at the 99% confidence level, 4.42% at 95%, and 3.40% at 90%, equivalent to approximately IDR 6.32 million, IDR 4.42 million, and IDR 3.40 million, respectively, for an investment of IDR 100 million. Theoretically, the study shows that fundamental strength and downside-risk exposure are distinct dimensions; practically, investors and policymakers should complement fundamental analysis and Sharia screening with quantitative risk measures such as VaR.