【摘要】：近些年來,市場競爭日益激烈,財務(wù)風(fēng)險也越來越復(fù)雜,中國因財務(wù)危機而被處理的上市公司也越來越多。財務(wù)危機的發(fā)生,不僅防礙了企業(yè)的生存和發(fā)展,同時也牽連著債權(quán)人、投資者、甚至社會的利益。財務(wù)危機是一個漸進的過程,是能夠避免的,上市公司管理層應(yīng)有效地認識財務(wù)風(fēng)險,因此對上市公司的財務(wù)風(fēng)險進行評估便顯得尤為重要。然而,現(xiàn)存的財務(wù)風(fēng)險評估的工具和手段仍然處于初級階段,評估體系一般都以會計報表的財務(wù)指標為依據(jù),因而不能完全達到財務(wù)風(fēng)險評估的效果和效率�；诖�,本文以完善財務(wù)風(fēng)險評估體系為出發(fā)點,將Va R融入到傳統(tǒng)的財務(wù)風(fēng)險評估體系中。首先,文章敘述了財務(wù)風(fēng)險以及財務(wù)風(fēng)險管理、Va R、分位數(shù)回歸模型的相關(guān)理論,比較分析國內(nèi)外現(xiàn)存的各種評估體系,基于此,提出自己的觀點,以及本文所選擇的方法。其次,本文以中石油集團為研究對象,闡述了該公司在財務(wù)風(fēng)險管理上存在的問題,提出了相應(yīng)的解決對策。分析了中石油近年來的財務(wù)狀況,選取了十個有代表性的財務(wù)指標,分別從發(fā)展能力,償債能力,經(jīng)營能力和盈利能力四個方面去選。接著,本文又根據(jù)該公司2015年的收益率計算出了Va R的值。對VaR值的實際意義作了闡述。接著,對融入VaR后財務(wù)風(fēng)險評估指標體系進行因子分析,得出該公司財務(wù)風(fēng)險的綜合得分。綜合得分可以完全反映上市公司的財務(wù)風(fēng)險情況,若綜合得分越大,則該公司的財務(wù)狀況就越好。接下來采用了分位數(shù)回歸分析的方法,從中可以看出各個財務(wù)指標與財務(wù)風(fēng)險的相關(guān)性以及對公司財務(wù)風(fēng)險影響作用的大小程度。最后,文章又分析了企業(yè)的性質(zhì)與制度環(huán)境對公司財務(wù)風(fēng)險的影響。融入VaR的上市公司財務(wù)風(fēng)險評估體系可以更全面、精準的評估上市公司財務(wù)風(fēng)險,對以后財務(wù)風(fēng)險評估指標的選取有一定的借鑒作用。同時,此評估體系也可為企業(yè)經(jīng)營管理者規(guī)避風(fēng)險、投資者投資公司提供一個較為簡單、行之有效的決策依據(jù)。
[Abstract]:In recent years, the market competition is increasingly fierce, the financial risk is becoming more and more complex, and more listed companies have been dealt with because of the financial crisis in China. The occurrence of financial crisis not only hinders the survival and development of enterprises, but also affects the interests of creditors, investors and even society. Financial crisis is a gradual process and can be avoided. The management of listed companies should understand the financial risk effectively, so it is very important to evaluate the financial risk of listed companies. However, the existing tools and means of financial risk assessment are still in the primary stage, the evaluation system is generally based on the financial indicators of the financial statements, so it can not completely achieve the effect and efficiency of financial risk assessment. Based on this, this paper takes the perfect financial risk assessment system as the starting point, integrates the VaR into the traditional financial risk assessment system. First of all, the paper describes the theory of financial risk and financial risk management Va R, quantile regression model, compares and analyzes all kinds of existing evaluation systems at home and abroad. Based on this, it puts forward its own viewpoint and the method chosen in this paper. Secondly, this paper takes PetroChina Group as the research object, expounds the problems existing in the financial risk management of CNPC, and puts forward the corresponding countermeasures. This paper analyzes the financial situation of PetroChina in recent years, and selects ten representative financial indexes, which are selected from four aspects, namely, development ability, solvency, management ability and profitability. Then, according to the company's 2015 rate of return, the value of Va R is calculated. The practical significance of VaR value is expounded. Then, factor analysis is carried out on the index system of financial risk assessment after VaR, and the comprehensive score of financial risk of the company is obtained. The comprehensive score can completely reflect the financial risk of the listed company, if the bigger the comprehensive score, the better the financial situation of the listed company. Then the quantile regression analysis method is used to show the correlation between each financial index and the financial risk and the extent of the influence on the financial risk of the company. Finally, the article analyzes the nature of the enterprise and the impact of institutional environment on corporate financial risk. The financial risk assessment system of listed companies which is integrated into VaR can be more comprehensive and accurate in assessing the financial risks of listed companies, which can be used as a reference for the selection of financial risk assessment indicators in the future. At the same time, the evaluation system can also provide a simple and effective decision basis for enterprise managers to avoid risk and investor investment companies.
【學(xué)位授予單位】：廣州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F406.7;F426.22

【參考文獻】

相關(guān)期刊論文 前10條

1 郭琛斌;;財務(wù)管理理論與實踐的風(fēng)險管理研究[J];企業(yè)改革與管理;2015年14期

2 黃屹;;財務(wù)管理理論與實踐的風(fēng)險管理研究[J];商場現(xiàn)代化;2015年15期

3 湛豪杰;;財務(wù)管理理論與實踐的風(fēng)險管理研究[J];法制與經(jīng)濟;2015年07期

4 楊巧麗;;天然氣銷售企業(yè)財務(wù)管理分析[J];中國集體經(jīng)濟;2014年36期

5 黃金波;李仲飛;周先波;;VaR與CVaR的敏感性凸性及其核估計[J];中國管理科學(xué);2014年08期

6 丁廣好;;新形勢下企業(yè)財務(wù)風(fēng)險管理的思考[J];企業(yè)改革與管理;2014年09期

7 章細貞;張琳;;企業(yè)并購對財務(wù)風(fēng)險的影響——基于管理者過度自信視角的實證研究[J];技術(shù)經(jīng)濟;2014年03期

8 黃婉婷;;企業(yè)財務(wù)風(fēng)險控制研究[J];會計之友;2013年23期

9 侯勇;;基于回歸分析的創(chuàng)業(yè)板上市公司財務(wù)風(fēng)險研究[J];價值工程;2012年07期

10 吳娜;;上市公司資產(chǎn)結(jié)構(gòu)與負債結(jié)構(gòu)的財務(wù)預(yù)警模型研究[J];經(jīng)濟研究參考;2012年11期

相關(guān)碩士學(xué)位論文 前1條

1 李永娟;基于VaR的上市公司財務(wù)風(fēng)險評估及預(yù)警研究[D];西北農(nóng)林科技大學(xué);2011年

，

本文編號：2123112