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The Research of Listed Companies’ Financial Risk Measurement and Pre-warning Based on VaR

Author: LiYongJuan
Tutor: LuXinSheng
School: Northwest University of Science and Technology
Course: Finance
Keywords: Financial risk VAR Factor Analysis Logistic regression
CLC: F276.6;F224
Type: Master's thesis
Year: 2011
Downloads: 175
Quote: 0
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Abstract

Economic activity in the competitive capital market, risk is everywhere, so well-developed financial markets for listed companies financing facilities, easy investment, more development opportunities, increased business process facing kinds of risk. Order to chase profits, many companies blindly with the project, over the use of financial leverage, diversified development in the company's financial position in the huge uncertainty to some extent, if not before the emergence of the financial risk on the financial situation of enterprises forecast, even in the face of financial crisis will lead to bankruptcy. The listed companies in the emergence of the financial crisis is a gradual process, it can be avoided, and managers of listed companies to promptly and effectively predict financial risk, to prevent the crisis, therefore, to establish the correct scientific system of financial risk assessment is very important. In order to find out the objective and effective financial risk assessment system, the reference to a large number of domestic and foreign scholars of literature, will affect the financial condition of listed companies external factors affect both financial market risk into traditional financial evaluation system, with a VAR ( Value at Risk) to measure financial market risks, both financial risk system were compared. We selected the 100 listed companies in Shanghai and Shenzhen listed as the research object, to sixteen sample companies in the four years 2007-2010 financial indicators and VaR based on the value of, respectively, to build two listed companies' financial risk assessment system in order to avoid too many variables collinearity, this article by factor analysis to extract the main factors that may exist between the original variables constructed based on the traditional indicators of financial risk assessment system and VaR integration of financial risk assessment index system, calculated composite score based on the modeling samples listed companies, whether listed companies by ST to compare the effectiveness of the system of financial risk assessment, the results show: the financial risk of the top ranking based on VaR financial risk measurement system model 10, 20, 30, 40 listed companies on the proportion of the overall share of ST companies is higher than the risk assessment system model based on the traditional financial indicators. Using two different evaluation systems rank of the the boss company's financial risk, the financial index system assessment results 31 40 ST companies, accounting for 78%, the financial index system and integrate into VaR The assessment results show that 36 of 40 ST companies, accounting for 90%. Finally, in order to further compare the two financial early warning system of financial risk assessment ability, through Logistic warning analysis methods build a financial early warning model, including the traditional financial evaluation system warning model and evaluation system based on VAR financial early warning model two, the last two comprehensive assessment system score into the early-warning model to calculate P values. The results showed that: 1, the estimated sample forecast results for: early warning model based on the traditional financial evaluation system in the T-1-year total discriminant accuracy was 88.3% in T-2 years of total discriminant accuracy rate of 81.67%; financial early warning model based on financial indicators system integrated into VaR year T-1 identification accuracy rate of 91.67%, in T-2 years discriminant accuracy was 85%. Therefore can be seen, the two models in the T-1-year ahead forecast accuracy of better than T-2 years increased, integrate into VAR financial risk assessment system in the T-1 and T-2 years of advance warning stronger. Financial early warning model based on the samples tested two years ahead of the predicted results are displayed: relative to traditional financial evaluation system, and integration into the the VaR parameters listed company's financial risk regression model in year T-1, T-2 years advanced prediction capabilities are more accurate. Therefore, for listed companies, the impact of external factors that affect the listed company's financial position can not be ignored, and need to be taken into account during the financial early warning and forecasting, financial market risks.

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