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传统VaR模型是一种衡量短期投资风险的常用工具,但其衡量长期风险的有效性仍然有所欠缺。并且,传统VaR方法基于历史数据对未来风险进行估算的基础性假定已引起诸多学者的质疑。据此本文提出基于战略考虑的VaR模型改进问题。首先提出战略因子这一综合评价企业战略的概念,然后利用德尔菲法和模糊层次分析法求出其具体表达式,最后基于实证数据的拟合将其嵌入到原有VaR模型中,得到改进后的战略在险值(Strategic Value-at-Risk,SVaR)模型。实证检验的结果表明,改进后得到的SVaR模型预测的长期风险值要比原VaR模型更加准确。
The traditional VaR model is a common tool to measure short-term investment risk, but its effectiveness in measuring long-term risk is still lacking. Moreover, the basic assumption that the traditional VaR method estimates the future risk based on historical data has caused many scholars’ questions. Accordingly, this paper proposes the improvement of VaR model based on strategic considerations. First of all, we put forward the concept of strategy factor which is a comprehensive evaluation of enterprise strategy. Then we use Delphi method and fuzzy analytic hierarchy process to find its concrete expression. Finally, based on the fitting of empirical data, we embed it into the original VaR model, Of the Strategic Value-at-Risk (SVaR) model. The result of empirical test shows that the long-term risk value predicted by the improved SVaR model is more accurate than the original VaR model.