嵌入战略因子的VaR投资风险模型改进研究

发布时间：2018-04-15 22:28

本文选题：战略因子 + 股票投资风险　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：VaR方法历经多年的发展，已经成为金融从业者广泛使用的最流行的风险管理方法。过去的一些年中，VaR虽然已得到了很广泛的应用，但是理论与实际都证明，现有的VaR理论还远远不够完善，诸如计算方法的繁杂性、尖峰厚尾性的难以准确度量等等，诸多学者已经对此进行了针对性的研究。但是VaR理论仍有一个明显的缺点却少有人研究。本研究在整理目前关于企业战略、投资风险、VaR方法的相关研究的基础上，通过对目前流行的衡量股票投资风险的VaR模型进行优缺点分析以及研究现状的分析评述，提出基于战略考虑的VaR模型改进问题。在对现有研究的分析基础上，本文对企业战略因素进行了界定与识别，整理出资源型、能力型、环境型三种类型共51个战略因素。并用德尔菲法选出最重要的20种战略因素，，然后用模糊层次分析法得出各战略因素的权重。本研究选取制药行业上市公司作为研究对象，搜集在上海股票交易所上市的52家制药业企业的战略因素值，求出其战略因子得分。引入g-h分布拟合股票收益率的分布，搜集52家企业的两期股票收益率，并进行g-h分布的参数估计。对两期股票收益率的参数估计值进行基于战略因子的回归拟合，得出修改后的g-h分布，进而得到修改后的VaR模型。最后随机抽取两家制药企业，进行修改后模型的后验验证，结果可看出修改后的VaR模型能更好地评估股票投资风险。本研究得出的SVaR模型是对原有VaR模型的有效改进，投资者根据修改后的模型可以更准确地预测投资风险，增强基于企业战略分析的理性投资，对股市的长期健康发展具有良好的推动作用。
[Abstract]:After years of development, VaR method has become the most popular risk management method widely used by financial practitioners.Although it has been widely used in the past few years, both theory and practice have proved that the existing VaR theory is far from perfect, such as the complexity of calculation methods, the difficulty of accurate measurement of peak and thick tail, and so on.Many scholars have carried out targeted research on this.But the VaR theory still has one obvious shortcoming but few people study.On the basis of sorting out the current research on enterprise strategy, investment risk and VaR method, this paper analyzes the advantages and disadvantages of the popular VaR model to measure the stock investment risk and reviews the current research situation.This paper presents an improved VaR model based on strategic considerations.On the basis of the analysis of the existing research, this paper defines and identifies the strategic factors of enterprises, and sorts out 51 strategic factors of resource type, capability type and environment type.The most important strategic factors are selected by Delphi method, and the weight of each strategic factor is obtained by fuzzy analytic hierarchy process.This study selects the pharmaceutical industry listed companies as the research object, collects 52 pharmaceutical companies listed on the Shanghai Stock Exchange, and finds out the strategic factor scores of the 52 pharmaceutical companies listed on the Shanghai Stock Exchange.The paper introduces g-h distribution to fit the distribution of stock return, collects the two periods stock yield of 52 enterprises, and estimates the parameters of g-h distribution.Based on the regression fitting of strategic factors, the modified g-h distribution is obtained, and then the modified VaR model is obtained.Finally, two pharmaceutical enterprises were randomly selected for a posteriori validation of the modified model. The result shows that the modified VaR model can better evaluate the risk of stock investment.The SVaR model is an effective improvement on the original VaR model. According to the modified model, investors can predict the investment risk more accurately and enhance the rational investment based on the enterprise strategic analysis.For the long-term healthy development of the stock market has a good role in promoting.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51;F224

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