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The Establishment and Effectiveness of Financial Risk Assessment Index System of Listed Companies Based on VaR

Author: JingYuFeng
Tutor: BianXu
School: Zhejiang University of Technology
Course: Management Science and Engineering
Keywords: Listed Companies Financial Risk Assessment Index System Effectiveness VaR
CLC: F832.51;F224
Type: Master's thesis
Year: 2011
Downloads: 73
Quote: 0
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Abstract


With the development of economy, China’s securities market is also constantly enriched and perfected, and in Shanghai and Shenzhen stock market the number of listed companies increases quickly, which not only provides development funds for listed companies,but also provides more investment vehicle for our invertors. However, because of the complexity of the economy and environmental variability and the uncertainty of the development of listed companies and so on,the financial risk of listed companies increases.Now,people pay close attention to the financial risk of listed companies before making investment decisions,and the financial risk assessment of listed companies also becomes the focus of attention.We must first establish a scientific financial risk assessment index system,before we assess the financial risk of listed companies.Market risk affect the cash flow of a enterprise directly,so it is necessary to establishing a financial risk assessment including market risk factor,and many scholars are studying the issue.In view of this, the financial risk index systems of listed companies are analyzed and studied,and a set of evaluation index system of financial risk assessment is established based on market risk factor in this paper.100 companies that listed in Shanghai and Shenzhen stock market are selected as research objects.The listed companies are divided into two groups,and one group is test sample, another group is inspection sample. Firstly,the traditional financial risk evaluation index systems are analyzed,and then the VaR is included in the financial risk evaluation index systems as a market risk factor,and the effectiveness of the index systems is detected and analyzed.The main content and the work consists of four parts.The first part is the related theories and research of financial risk. The related concepts and theoretical study are introducted,and the concepts of financial risk is defined,and the related theories of financial risk index system are reviewed,and the necessity of infusing the market risk into financial risk assessment is anylzed in this part.The second part is the related theories of market risk.The related concepts and theories of market risk measurement and the theories of VaR are introduced in this part.The third part is the establishment of the financial risk assessment index of the listed companies.According to the principle of the establishment of financial risk assessment index system,the financial risk assessment index system based on VaR is established,and the study samples are selected,and the VaR is calculated.The fouth part is the sampling and calculation of VaR. The sixth part is the analysis of the effectiveness of the financial risk assessment index system based on VaR.The tudy samples are assessed using factor analysis,and the results are analysed by descriptive analysis and binomial logistic regression analysis in this part.The main conclusion are that the VaR financial risk evaluation index system is effective and the financial risk of ST listed companies is greater than non-ST listed companies on the whole.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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