The Research Of China’s Listed Companies’ Financial Risk Measurement Based On VaR

In recent years, with the increasingly fierce market competition and the increasingcomplexity of financial risk, because of the financial crisis, ST listed companies are more andmore in China. The occurrence of the financial crisis, not only impedes the survival anddevelopment of enterprises, but also implicated creditors, investors, and even the interests ofsociety. The financial crisis is a gradual process, can be avoided. The management of listedcompanies should understand the financial risks, so it is particularly important to assess thefinancial risk of the listed companies.The paper uses a combination of normative and empirical research, drawing on the basisof previous studies, select44ST companies and44non-ST companies as samples, based on2010-2012data to calculate various financial indicators and VaR values, and build theVaR-based financial risk assessment system and the traditional financial risk assessmentsystem. In empirical research, in order to avoid collinearity between the indicator variables,the paper uses factor analysis to extract the common factor and get composite score of thesample, at the same times the paper makes a preliminary comparison of the effectiveness ofthe system of financial risk assessment. Finally, we use logistic regression to analyze thepredictive ability of the two financial risk assessment systems, and make a further comparisonfor the effectiveness of the system. The results show that the VaR-based financial riskassessment system more comprehensive and effectiveness than the traditional financial riskassessment system. The new measurement system not only can resolve to guard against thefinancial risks of the public enterprise and can be valuable, but also for the investmentdecision-makers to avoid risks, formulate investment plans to provide a relatively simple andeffective basis for decision-making.