The Research On Evaluation And Pre-warning Of Financial Risk Of Public Company Incorporated VaR

The financial risk is the possibility of which the corporation will suffer some risk during all financial activities. Because of the influence of all kinds of unsuspected and uncontrollable factors, the financial situation is always full of uncertainty. It reflects the corporation's risk that the corporation will meet with during the financial activities and the process of financial relations. There are many reasons for the cause of the financial risk, but the most important reason is the management's strategic policy level. The text brings it to evaluation system on estimation and pre-warning of financial risk of public company, sets up model and does empirical research.At first, this dissertation summarize, analysis and contrast the internal and foreign pre-warning model of financial risk, find out the default of pre-warning of financial risk in our country now.Secondly, at present, the pre-warning of financial risk only considers the financial figures, whereas it ignores management's strategic policy level, so this dissertation makes it to enter into the assessment system based on choosing the financial evaluation index to reflect such four respects as enterprise's profit ability, debt paying ability, managerial ability of the assets and growth ability, etc. Because the acquirement of the strategic policy level is very difficult, the text adopt to the stock-earning ratio after evaluating it with stock price when the company announces great decision news but to reject deep bid tendency influence. And introduce the index of VaR that reflects strategic policy level of the management, certainly, investors also appraise the financial risk of public company by VaR.Thirdly, according to multi-co linearity problem, the dissertation adopts principal component analysis to solve it. At last, we choose the logistic regression model to estimate and early warn the financial risk based on the contrast of all models.Fourthly, according to the diversity of financial information caused by the industry's difference, the dissertation selects 40 special treatment corporations from manufacturing and 40 corresponding sample corporations. It collects three years financial statistical data before the corporation was specially treated and averages it as the data of the model. It guarantees the rate of accuracy of model pre-warning. the dissertation statistically analyses the data, construct the model todo empirical research and testify its validity.At last, Model early warning rate of accuracy is high that set up, appraise result compare with simple financial affairs from the conclusion, though the newly-increased index VaR is not very obvious to appraise the influence of the result, it makes certain progress from conclusion.