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The Research on Evaluation and Pre-warning of Financial Risk of Public Company Incorporated VaR

Author: LiYongZhi
Tutor: ZhuWeiDong
School: Hefei University of Technology
Course: Business management
Keywords: VaR Financial risk Factor Analysis Logistic regression Warning
CLC: F830.91
Type: Master's thesis
Year: 2005
Downloads: 526
Quote: 3
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Abstract


Financial risk is due to a variety of difficult to predict or control factors in the various financial activities, leading to financial position uncertainty, so the possibility of loss to reflect the enterprise financial management activities from the value as well as the risks encountered in the handling of financial relations. Financial risk for many reasons, but the managers decision-making level of a financial risk. In this paper, the manager's decision-making level of financial risk assessment and early warning of listed companies included in the evaluation system, establish a model and an empirical study. Firstly, an overview of the domestic and international financial early warning model, analyze and contrast, find out the inadequacies of our country at this stage financial risk warning. Second, financial indicators considered for financial risk early warning at this stage only from the neglect of management's strategic decision-making level of the defect in the financial evaluation indicators reflect the four areas of corporate profitability, solvency, asset management capabilities, and the ability to grow foundation will be included in the risk assessment index system to take into account the level of strategic decision-making is not easy to measure, In this paper, the fluctuations in the stock price when the company announced a major policy decisions news and excluding the impact of the market trend in the stock returns to its assessment, thereby introducing a value-at-risk (VaR) this indicator, with a risk value to reflect the level of strategic decisions of the company's management. Third, the for multicollinearity problem index system, this paper, principal component analysis solve the multicollinearity linear problems. Linear model taking into account the number of defects, on the basis of comparison of various models, the final selection of the logistic regression model to assess the financial risk and early warning. Fourth, the financial information industry differences differences, this article simply select from the manufacturing of 40 ST companies and select the 40 paired samples company, on this basis, collected by ST in the first three years of financial data, find the average of the SPSS its analysis and modeling to ensure the accuracy of the model warning, while the model established empirical analysis and validation. Finally, the analysis of the empirical results establish the model of early warning accuracy is relatively high, compared with a mere financial results of the evaluation, the new indicators VaR evaluation results, although not very obvious, but it has been some progress.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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