创业板上市公司财务风险评价的实证研究-管理科学与工程专业论文.docxVIP

摘 要 我国设立创业板市场是为了给创新型中小企业提供融资机会，是产业升级的 必然趋势。在创业板市场上市的公司大多是高科技公司，创业板市场的进入门槛 低，公司具有较高的成长性，但是成立时间较短，规模较小，多处于种子期及成 长期，发展相对不成熟，因此各种风险日趋复杂。 财务风险是上市公司自始自终都需要面临的风险，是金融风险中的核心风险， 直接影响创业板能否良性健康运行，所以对创业板的上市公司的财务风险进行科 学的评估和度量，具有重要的理论意义和现实意义。 因为我国创业板市场尚未成熟，很多指标目前没有明确的定量关系，部分指 标所能提供的信息存在未确知性，而且受投资者行为、市场因素、财政政策等方 面影响较大，所以选取未确知测度模型，在一定程度上能确保结果科学性。 本文系统的介绍了创业板市场及其财务风险的相关概念，结合我国创业板上 市公司的特性总结其面临的各类财务风险；总结国内外关于财务风险度量的方法， 研究分析了其存在的问题，并采用 VaR 方法来度量市场风险，提出将 VaR 市场风 险价值引入到创业板上市公司的财务风险中，进而来构建财务风险评价指标体系， 通过建立未确知综合评价模型对构造的指标体系进行分析；通过对创业板首批上 市的 28 家公司的财务风险进行实证研究，得出每家公司的财务风险等级及其排名 情况。 关键词：创业板市场；风险价值( VaR) ；GARCH 模型；未确知综合评价模型 Abstract GEM is established in China to provide financing opportunities for innovative SMEs, and is the inevitable trend of industrial upgrading. The companies listed on GEM are mostly high-tech companies, and this determines the characteristics of low barriers to entry of GEM. These companies have high growth, but are shorter the set up time, smaller in scale, more at the seed and growth stage, and relatively immature in the development, therefore, various risks are growing complexity. It is the financial risk which listed companies are required to face from beginning to end, and is the core of the financial risks. It does directly influence of the benign and healthy operation of the GEM. So it has important theoretical and practical significance to make scientific assessment and measurement to financial risk of listed companies on GEM. Not only GEM in China is not yet mature, many indicators are not clear quantitative relationship and the information provided by some indicators exist the unascertained characters, but also greater influenced by investor behavior, market factors, fiscal policy, etc. So the paper selects the unascertained measure model to ensure the results of scientific to a certain extent. This paper systematically introduces the relevant concepts of the GEM and financial risks, and summaries the facing various financial risks combined with Chinas character