Estimating Value at Risk of a Listed Firm in China

Author

Liu, Rui ; Zhan, Yuan-rui ; Liu, Jia-peng

Author_Institution

Sch. of Manage., Tianjin Univ.

fYear

2006

fDate

13-16 Aug. 2006

Firstpage

2137

Lastpage

2141

Abstract

This paper explores the application of the financial engineering techniques in the evaluation of total value risk on a sample-listed firm of China. Merton structural model and an experienced relation function are applied to evaluate the firm´s value. GARCH model is also employed to estimate both the return series and the volatility of the equity. Under this situation, the expected distribution of the firm value and the value at risk (VaR) can be obtained based on Monte Carlo simulation. Since the paper may be the first one trying to value the potential risk of firm value, it is very helpful for analyzing mergers and acquisitions in the capital market as well as controlling the risk of asset for those large state-owned asset management companies in China

Keywords

Monte Carlo methods; corporate acquisitions; estimation theory; financial data processing; financial management; risk analysis; statistical distributions; China; GARCH model; Merton structural model; Monte Carlo simulation; asset management company; capital market; experienced relation function; financial engineering; merger-acquisition analysis; sample-listed firm; statistical distribution; total value risk estimation; Asset management; Bonding; Conference management; Corporate acquisitions; Cost accounting; Cybernetics; Engineering management; Equations; Financial management; Machine learning; Neodymium; Risk analysis; Risk management; GARCH model; Monte Carlo simulation; Value at risk; financial engineering;

fLanguage

English

Publisher

ieee

Conference_Titel

Machine Learning and Cybernetics, 2006 International Conference on

Conference_Location

Dalian, China

Print_ISBN

1-4244-0061-9

Type

conf

DOI

10.1109/ICMLC.2006.258609

Filename

4028417