Study On The Improvement Of Value-at-risk By Embedding Strategy Factor

VaR method for many years‘development, has becoming a widely usedand themost popular method for risk management used by financial practitioners. Over thepast few years, although the VaR has been very widely used, the theory and practicehave proved that the existing VaR theory is far from perfect, Such as themultifarious calculation method, spike thick tail‘s difficult accurately measurementand so on. Many scholars have carried out targeted research. But the VaR theor ystill has an obvious shortcoming that few people has researched. Some scholarspointed out that the VaR model has an obvious disadvantage, that is the VaR‘sforecast for future volatility is based on historical data in the past, it can be foundfor financial markets with slow fluctuation, But what we have to study is volatilestock market, whether the assumption is reliable still being examined. this researchbased on the related research at present about corporate strategy, investment risk,VaR method, Through the measure of the advantages and disadvantages of thecurrent popular VaR model which is used to analysising stock investment risk, andreviewed the current situation of the research, We put forward VaR improve modelbased on strategic consideration.Based on the analysis of the existing research, we made to definition andrecognition to the enterprise strategic factors, we sort out three types of the total51strategic factors, they are resource-based, competency-based, environment-based,we used expert questionnaire method to select the most important20strategicfactors, and then we use the fuzzy analytic hierarchy process (AHP) concluded theweight of each strategic factor.This study selected the listed companies of the pharmaceutical industry as theresearch object, collects the value strategic factors in52pharmaceutical companieslisted on the Shanghai Stock Exchange, we find out their strategic factor score.Introduced in fitting distribution of stock returns, collecting52companies‘returnon two stock, and making g-h distribution‘s parameter estimatio. We makeregression fitting of the stock yield of two parameter estimate based on the strategicfactor, concluded the modified distribution of g-h, and then get the modified VaRmodel. At lasst we randomly selected two pharmaceutical companies, verifies theposterior of the modified model, the results showed the modified VaR model canbetter assess the stock investment risk.This research study the role of strategic factors in the stock investment riskmore deeply, concluded an effective improvement SVaR model compared to the original VaR model. Investors can more accurately predict the investment riskaccording to the modified model, reinforcing rational investment based on theanalysis of the enterprise strategy. And these can play an improving role on thegood development of the stock market’s long-term health.