ESTIMATING VALUE AT RISK OF A LISTED FIRM IN CHINA
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 firms 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.
Value at risk Monte Carlo simulation GARCH model financial engineering
RUI LIU YUAN-RUI ZHAN JIA-PENG LIU
School of Management, Tianjin University, Tianjin 300072, China
国际会议
2006 International Conference on Machine Learning and Cybernetics(IEEE第五届机器学习与控制论坛)
大连
英文
2137-2141
2006-08-13（万方平台首次上网日期，不代表论文的发表时间）