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Chinese Journal of Management Science ›› 2015, Vol. 23 ›› Issue (7): 35-44.doi: 10.16381/j.cnki.issn1003-207x.2015.07.005

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Improved VaR Model by Embedding Strategic Factor

HAO Fan-hao, WANG Tie-nan, LI Xin   

  1. School of Management, Harbin Institute of Technology, Harbin 150001, China
  • Received:2013-11-06 Revised:2014-07-30 Online:2015-07-20 Published:2015-07-22

Abstract: Traditional VaR model is a commonly used tool for measuring risk of short-term investment, but it is not effective in measuring risk in the long run. In addition, some scholars have doubted the basic assumption of traditional VaR method which estimates future risk by historical data. Accordingly, this paper intends to improve VaR model by taking strategy into account. First, a concept of strategic factor, which can comprehen-sively evaluate corporate strategy, was proposed. By using Delphi method, questionnaires are distriputed to the 15 selected experts in the related area, and screened out 23 pivotal strategic elements. Afterwards, the formula of strategic factor was obtained by Fuzzy Analytic Hierarchy Process (FAHP). Based on the g-hVaR model, strategic factor is embeded into the g-h VaR model and the SVaR (Strategic Value-at-Risk) model is built. Daily closing price data of 52 Shanghai-listed companies in the pharmaceutical industry from January 2, 2007 to December 31, 2012 were collected for empirical analysis. The data of 50 companies were used for modeling, and the rest 2 were used for model verification. The results of likelihood-ratio testing and empirical testing reveal that the SVaR model is more accurate than the original VaR model in predicting the future risk of stock investment. Our research may enrich and optimize VaR theory and shed light on the research of financial risk.

Key words: strategic factor, risk of long-term investment, SVaR model

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