| In the market economy, competitions are more and more intense. Competitions not only provide more development opportunities for companies, but also make enterprises face more uncertainty in the process of business. Currently, over debt, diversified and international phenomena widespread around the enterprises.It's easy to increase the risks of enterprises, make enterprises into financial crises, and may even make them face bankruptcy. The situation for listed companies in our country that are titled with"ST"plate and even forced to quit listing because of financial crisis grows more and more seriously. If the listed company failed to financial crisis, it is not only the detrimental to its survival and development, but also brings loss to creditors and investors. So to establish financial risk measurement system can play an important role both for the management of listed companies and investors.Domestic and foreign scholars have established a series of assessments about listed companies'financial assessment system. However, most previous studies are based on traditional financial indicators. Due to accounting fraud and the delay effect of financial data, traditional financial risk measurement model is very difficult to effectively guard against financial market risks, it also gives financial risk assessment, identification and prediction a big obstacle. In addition, the company's financial condition and profitability closely relates with the company's macro environment, and the changes of national policies and managers'decision-making level is very important to the company's survival and development. Capital market can amend the stock prices of listed companies according to the change of external environment to reflect the company's true value. This background drives us consider the company's financial risk assessment system from a new perspective. Financial risk is a major external factor that can make the company into crisis, the company can not ignore external financial markets and the impact on them. Therefore, we consider the listed companies'financial risk with VaR included , re-identify and assess the companies'financial risk. This research makes a bridge between the forecasts of listed companies'financial risk and managers'decision-making and external macro-environment.Based on the status of domestic and international research and in reference to existing research results, we selected 40 non-ST companies and 40 ST companies as modeling samples and 15 non-ST companies and 15 ST companies as test samples from listed companies in Shanghai and Shenzhen. We calculated samples'financial indicators and VaR value on the basis of four years data from2005 to 2008, and construct financial risk assessment system of listed company. We using factor analysis constructed financial risk evaluation system with VaR included and the financial risk evaluation index system that not contain the VaR. Then we compared the effectiveness of the two models. The results showed that: in the rankings, the ST listed companies have larger proportion in the financial risk evaluation system with VaR included. Through the test sample testing, we found that there are 12 ST corporations in the top 15 based on the traditional system of assessment of financial indicators, and there are 14 ST corporations in the top 15 based on financial risk evaluation system with VaR included, which indicates that the financial risk measurement system with VaR included are more accurate than traditional financial risk measurement system on the listed company's financial risk assessment. In the last part we use Logistic method to establish financial early warning models based on the two indicators system, and compare the effectiveness of the two types of financial risk index system. 2-year ahead forecast results of the early-warning models which based on modeling sample are: the total discrimination accuracy was 91.25% in T-1, and in T-2 its total discrimination accuracy was 85%, which based on the traditional financial assessment system. As a comparison the total discrimination accuracy was 92.5% in T-1, and in T-2 its total discrimination accuracy was 81.25%, which based on the financial risk measurement system with VaR included. The results show that compared with the traditional financial indicators system, the financial risk measurement system which is with VaR included is stronger when it is used to forecast in T-1-year, but The estimated capacity is weaker than the former when it comes to the year of T-2. On the other hand, we can see that whether or with VaR included the two models are both more accurate in the T-1-year ahead forecast than T-2 years. The results based on test samples showed that: the financial risk measurement system with VaR included is more accurate both in the T-1-year and T-2-year than the traditional early-warning model. Overall, the results of this study show that the financial risk evaluation index system based on VaR is more comprehensive and more objective on measuring of listed companies'financial risk, consequently, it is more effective. |
