基于VaR的中国上市公司财务风险评估研究

发布时间：2018-01-23 22:40

本文关键词： 上市公司财务风险 VaR 因子分析 Logistic回归　出处：《东北石油大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来市场竞争日益激烈，财务风险日趋复杂，中国因财务危机而被特别处理（Special Treatment, ST）的上市公司也越来越多。财务危机的发生，不仅阻碍了企业的生存和发展，同时也会牵连债权人、投资者、甚至社会的利益。财务危机是一个渐进的过程，是可以避免的，上市公司管理层应有效认识财务风险，因此对上市公司的财务风险进行评估显得尤为重要。论文采用规范研究和实证研究相结合的方式，在借鉴前人研究的基础上，选取沪深两市44家ST公司和44家非ST公司作为样本，以2010-2012年的数据为基础计算各项财务指标和风险价值（Value at Risk, VaR），，构建传统财务风险评估体系和基于VaR的财务风险评估体系。在实证研究部分，为了避免指标变量之间存在共线性，采用因子分析法提取公共因子计算样本公司的综合得分并对其进行排序，初步比较两种财务风险评估体系的有效性；此后运用Logistic回归的方法分析两种财务风险评估体系的预测能力，并将两种财务风险评估体系的有效性作进一步比较。结果表明，基于VaR的财务风险评估体系比传统的财务风险评估体系更加全面、有效性更强。此评估体系对于度量、化解及防范上市公司的财务风险具有一定的参考价值，同时也为投资决策者规避风险、制定投资计划提供了一个较为简单、行之有效的决策依据。
[Abstract]:In recent years, the market competition is increasingly fierce, the financial risk is becoming more and more complex, China has been specially dealt with because of the financial crisis. The occurrence of financial crisis not only hinders the survival and development of enterprises, but also implicates creditors and investors. Even the interests of the society. Financial crisis is a gradual process that can be avoided, the management of listed companies should effectively understand financial risks, so it is particularly important to evaluate the financial risks of listed companies. Based on the previous studies, 44 St companies and 44 non-St companies in Shanghai and Shenzhen stock markets are selected as samples. Calculation of financial indicators and risk values based on 2010-2012 data / Value at Riskat, VaR). The traditional financial risk assessment system and the financial risk assessment system based on VaR are constructed. In the empirical research part, in order to avoid the co-linearity between the index variables. Factor analysis method is used to extract the comprehensive scores of the sample companies and to sort them, and the effectiveness of the two financial risk assessment systems is preliminarily compared. Then the prediction ability of the two financial risk assessment systems is analyzed by using the Logistic regression method, and the effectiveness of the two financial risk assessment systems is further compared. The results show that the two financial risk assessment systems are effective. The financial risk assessment system based on VaR is more comprehensive and effective than the traditional financial risk assessment system. To resolve and prevent the financial risks of listed companies has certain reference value, and also provides a simple and effective decision basis for investment decision makers to avoid risks and formulate investment plans.
【学位授予单位】：东北石油大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F276.6;F832.51

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