The Study Of Real Estate Company’s Financial Risk Management Based On GARCH-VaR Model

After the outbreak of the subprime crisis since2007, it was important that countries began to attach to risk management research. After the outbreak of the "financial storm", financial risk is everywhere.it always enterprises to pay attention to identify and prevent risks. This article is trying to put forward the suitable for enterprise’s financial risk warning system to the the development of the financial risk management system. At present, our country’s real estate industry is developing rapidly, the social and government pay high attention to development trend of its departments. In the severe cases, the economic situation is particularly important to the real estate with company financial risk.The development of the new situation, it proposed the prediction method of real estate with company financial risk. This article is analyzed the real estate industry of leading companies——M real estate companies and then by M real estate listed companies the research method of promotion to all the real estate listed companies in the study, and analyzes the financial risk of the36listed real estate companies. This article selected the five categories including:a share index, profit ability, growth ability, operation ability, solvency and capital structure, total of22financial indicators, in other words it selected45quarter data including:from March31,2002to March31,2013during the quarter of financial data. This article is based on entropy weight method to calculate the weight and calculate the comprehensive evaluation of financial index sequence. Then it must make related inspection on the sequence of time series analysis, mainly inspection includes:unit root test, correlation test, the ARCH--LM test, etc. Comprehensive evaluation of financial index sequence through the unit root test, but there are3order correlation, it also check out the top ARCH effect and then the GARCH model is found. Based on the GARCH model to calculate the VaR risk value, comprehensive evaluation of financial index is obtained to calculate the corresponding financial risk value. We use autoregressive model (VAR) model to predict the next issue of value at risk and get the corresponding prediction model to analysis financial risk value, it could predict the next issue of value using autoregressive model (VAR) model at risk and for5order, the prediction model of goodness-of-fit reached71.4%, the effect is better. On the other hand, this article could transfer probability matrix further measure on all real estate risk through the establishment of real estate listed company financial risk so that they can more effectively control the risk. This article can be solved the next financial risk analysis through the establishment of forecasting model and take appropriate measures to prevent risks in order to achieve risk prevention, risk prediction, the purpose of to advance for M company which can provide more effective for the real estate industry to circumvent method. This article has built a financial risk management system for enterprise itself development, but also improve financial risk management system to achieve better in prediction effect.