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嵌入战略因子的VaR模型改进研究

, PP. 35-44

Keywords: 战略因子,长期投资风险,SVaR模型

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Abstract:

?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(StrategicValue-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。

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