基于VaR模型的中国西部上市煤炭企业金融风险影响因素实证研究

Empirical Study on Financial Risk Influencing Factors of Listed Coal Energy Enterprises in Western China Based on VaR Mode

摘要: 本文选取我国西部煤炭上市企业作为分析对象，利用煤炭板块上市公司中占比较大的十家我国西部煤炭公司2017~2021年的财务数据，结合具体财务数据，将衡量标准分为三个一级指标：宏观经济环境、投资条件和融资条件指标，运用金融风险管理中VaR方法量化风险值，研究分析煤炭金融风险的主要来源，以便检测和控制煤炭企业的金融风险管理。本文一级指标选取宏观经济环境、投资指标和融资指标，以下有9个二级指标；宏观经济环境选取GDP指标、CPI指标和煤油电价格指标；投资指标选取贷款利率、名义存款利率、名义汇率；融资指标选取净资产收益率、资产负债率和资产周转率。实证求得中国煤炭企业潜在的VaR损失值与煤炭企业自身的规模和总资产、总投入有着直接关系，即中国煤炭企业金融风险主要源于煤炭企业自身投资指标的大小。为我国煤炭行业企业提供风险管控参考。

Abstract: This paper selects the listed coal enterprises in western China as the analysis object, uses the 2017~2021 financial data of ten listed coal companies in western China, which account for a relatively large proportion of the listed companies in the coal sector, and combines the specific financial data to divide the measurement criteria into three first-level indicators: indicators of macroeconomic environment, investment conditions and financing conditions; the VaR method in financial risk management is used to quantify the risk value, and the main sources of coal financial risks are studied and analyzed in order to detect and control the financial risk management of coal enterprises. The primary indicators of this paper are macroeconomic environment, investment indicators and financing indicators. There are 9 secondary indicators as follows. Macroeconomic environment selected GDP index, CPI index and kerosene electricity price index; The investment index selected loan interest rate, nominal deposit interest rate, nominal exchange rate; The financing indicators are return on equity, asset-liability ratio and asset turno-ver ratio. The empirical results show that the potential VaR loss value of Chinese coal enterprises is directly related to the scale, total assets and total input of coal enterprises, that is, the financial risk of Chinese coal enterprises mainly stems from the size of their own investment indicators. It provides reference for risk management and control of China’s coal industry enterprises.