Research on Financial Risk Monitoring Introducing Value at Risk (VaR) of 
Small and Medium- Sized Real Estate Enterprises

Abstract

Abstract: The external risk of small and medium-sized real estate enterprises has been significantly increased by the state macro control, which poses a severe challenge to the enterprise solvency and capital chain risk. To assess the risk of small and medium-sized real estate enterprises, this paper chooses 1998-2013 annual data of small and medium-sized real estate listed companies as research sample, to construct risk monitoring model by introducing the VaR into financial risk monitoring index system, and the model can effectively improve the accuracy of the financial risk prediction of real estate enterprises. Therefore, the integration of financial VaR risk assessment system has certain reference value for real estate companies to prevent and defuse financial risks, which can also play an early warning role to external market risk factors.

Key words: small and medium-sized real estate enterprises, risk monitoring, Value at Risk, early warning mechanism

WANG Xiao-yan1,2. Research on Financial Risk Monitoring Introducing Value at Risk (VaR) of Small and Medium- Sized Real Estate Enterprises[J]. 商业研究.

References

注释： ①数据来源：http://finance.sina.com.cn/review/jcgc/20140530.shtml. 参考文献：［1］BEAVER,W．H．Financial Ratios as Predictors of Failure［J］．Journal of Accounting Research， 1966,(4):72-102．［2］GALLINGER G. W. The Current and Quick Ratios: Are They Only Window Dressing?［J］．Business Credit,1997,99(5): 22-23. ［3］BALIi, T., and N. CAKICI. Value at Risk and Expected Stock Returns［J］． Financial Analysts Journal,2004,60(2):57-73. ［4］BERKOWITZ, J. and J. O’BRIEN. ‘How Accurate Are the Value-at-Risk Models at Commercial Banks?［J］．Journal of Finance,2002,57: 1093-1111. ［5］HUANG, Y., and B. LIN. Value-at-risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations［J］．Review of Quantitative Finance and Accounting,2004,22:79-95. ［6］LIM, C., and P. TAN. Value Relevance of Value-at-risk Disclosure［J］．Review of Quantitative Finance and Accounting,2007,29: 353-370. ［7］WOODS, M., K. DOWD and C. HUMPHREY. The Value of Risk Reporting: a Critical Analysis of Value-at-Risk Disclosures in the Banking Sector［J］． International Journal of Financial Services Management,2008,8(1):45-64. ［8］POLANSKI, A., & STOJA, E. Incorporating higher moments into Value at Risk forecasting［J］．Journal of Forecasting,2010,29(6):523-535. ［9］MANCINI, L., & TROJANI, F. Robust Value at Risk prediction［J］． Journal of Financial Econometrics,2011,9(2):281-313. ［10］陈桦. 基于层次分析法AHP的房地产投资项目风险分析与评价［J］．企业导报,2012（16）：33-34. ［11］葛江松，洪开荣.基于AHP的房地产项目投资风险评价研究［J］．企业家天地,2008（12）：186-187. ［12］胡援成，张朝洋. 政策调控下房地产开发企业的资金循环与债务危机识别［J］．当代财经,2014（2）:50-64 ［13］李立华，张强. 房地产信贷风险的评估与监控［J］．统计与决策,2009（20）：113-115. ［14］李毅.基于SVM的房地产投资风险评价及应用［J］．统计与决策,2012（1）：70-72. ［15］林乐芬，张越.中国房地产市场与流动性过剩的相关性分析［J］．南京社会科学,2007（11）：45-49. ［16］刘晓君，孟凡文. 模糊层次分析法在房地产投资风险评价中的应用［J］．西安建筑科技大学学报:自然科学版,2005（1）：135-137. ［17］鲁俊伟. 层次分析法在房地产开发项目风险管理中的应用研究［J］．产业与科技论坛,2008（10）：236-238 ［18］孟强.基于层次分析法的房地产项目风险管理［J］．商业经济,2008（6）：15-17. ［19］上官金丽. 基于主成分分析的房地产投资风险评价研究［J］．价值工程,2009（5）：158-160. ［20］苏亚莉. 房地产开发项目风险管理研究［J］．东华理工大学学报:社会科学版,2011（1）：26-29 ［21］田成诗，李辉.中国房地产市场风险评价_基于房价与宏观经济协整的分析［J］．预测,2008（4）：1-5. ［22］杨淑君，王超.基于状态空间模型的我国房地产上市公司财务流动性实证研究［J］．财政监督,2010（1）：7-9. ［23］喻晓艳，王松江. 房地产动态风险管理模型［J］．科学咨询（决策管理）,2008（10）：33-34 ［24］张羽，张小利.房地产行业上市公司流动性分析［J］．上海立信会计学院学报,2007（3）：47-50.

Research on Financial Risk Monitoring Introducing Value at Risk (VaR) of Small and Medium- Sized Real Estate Enterprises

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 0

Recommended Articles

Metrics