Research Of Enterprise Liquidity -risk Evaluation Based On VaR

With the intensity of competition, spread of Economic Globalization, development of Capital Market and the emergence and extensive use of derived tools of finance, the external environment of the enterprise faced become more complicated. Liquidity is the basic maintain of the enterprise operating and producing regularly. With the expansion of operating scale constantly, the need of financing enhanced and complexity of internal environment, the relevant risk factor is more and more and liquidity risk becomes the focus of the management level increasingly in the course of the growth of enterprise. It becomes a significant and urgent problem for the managers of enterprise and investors to evaluate the liquidity of enterprise reasonably, and supply the effective way of finding and solving problem.This article begins with the exploration of the connotation of enterprise liquidity. On the basic of achievement of other people had summed up, combined with the operating and producing of enterprise itself, we divide enterprise liquidity risk into endogenous liquidity risk and exogenous liquidity risk, and put forward corresponding management method and using VaR to weigh the exogenous liquidity risk. For the hysteresis quality and one-sidedness of single financial index formerly, this paper has introduced the technique of VaR into the system of enterprise liquidity index and combined static financial index with dynamic external market risk to establish a comprehensive appraisal system of enterprise liquidity risk. On this basic, according the data of listed company in Shanghai and Shenzhen, we made empirical analysis on the evaluation model and then made model checking on it by the method of factor analysis. By analyzing empirical results, using VaR, two evaluation models and representatives of the target enterprise mobility test the correlation which verify the validity of the model based on VaR.The research shows that the new model can overcome the shortage of the method of traditional single financial evaluation and make the evaluate results more objective and comprehensive, at the same time ,also make the enterprise managers and investors understand the risk of enterprise liquidity so clearly that they can promote enterprises developing healthily.