Risk Oriented Value Evaluation Of Listed Companies-RAROC Evaluation

With the opening up of China's capital market, the listed companies face more diverse and complex risk. The past evaluation model has been difficult to reflect the status of corporate risk accurately. This article create a new evaluation model-RAROC model to evaluate non-financial listed companies which drawn on the advanced risk management concepts of financial sector. The article used 2005-2009 data from listed companies of China as empirical test. Compared with previous models, RAROC model reflects the company's history financial information and the stock market information being sensitivity and forward-looking. The article used the KMV model based on option pricing theory and semi-parametric method of VaR model, which improved the evaluation to be more comprehensive and effective to reflect the company's risk-adjusted return. Therefore, this model can not only to provide an effective decision-making basis for the company's management, but serve as the early warning indicators for investors and regulators, and be a tradition improving method for ROE evaluation.