沈理风险管理课设.doc

金融风险管理课程实践1.公司及行业概述 大亚科技股份有限公司是一家主要从事于包装业、机械制造业、装饰材料业的企业,公司的主要产品包含:铝箔、铝箔复合纸及、卡纸、包装印刷品、聚丙烯丝束、轮毂、中高密度板、木地板、木门及衣帽间等. 公司是国家级重点高新技术和国家火炬计划新材料产业基地骨干企业,并拥有博士后科研工作站,在国内新型包装材料行业占有重要地位.公司生产的人造板、圣象牌强化木地板以及圣象康逸三层实木复合地板在市场中具有很强的竞争优势,产品所属行业是国家鼓励发展和支持的产业.同时公司拥有下游的销售渠道-圣象集团,拥有2800家直销连锁专卖店,公司正在按照国际HOMEDEPOT模式,着力打造拥有自主品牌设计、服务功能、工程材料、消费产品为一体的国内最大的装饰一体化的家居装潢连锁店工程体系.目前公司的造林-人造板-地板产业链体系已具雏形,其林板一体化发展战略也已清晰可见. 大亚科技股份有限公司(以下简称公司)是1998年6月27日经江苏省人民政府苏政复(1998)67号文批准,由江苏大亚集团公司(现已更名为大亚科技集团有限公司,以下简称大亚集团)作为主要发起人(以净资产出资),上海凹凸彩印总公司作为第二发起人(以净资产出资),同时联合其他三家发起人(以现金出资)共同发起募集设立江苏大亚新型包装材料股份有限公司.经中国证券监督管理委员会证监发字(1999)31号文批复同意,于1999年3月23日采取上网定价发行方式按1:6.25溢价向社会公开发行8000万股普通股.本公司于1999年4月18日创立,并于1999年4月20日在江苏省工商行政管理局注册登记.经深圳证券交易所深证上(1999)51号文同意,1999年6月30日在深圳证券交易所挂牌上市交易,股票简称为大亚股份,股票代码为000910.2002年7月11日,经江苏省工商行政管理局2002第07040015号文核准,公司名称由江苏大亚新型包装材料股份有限公司变更为大亚科技股份有限公司.经深交所核准,自2002年7月24日起,公司名称正式变更为大亚科技股份有限公司,简称大亚科技,股票代码不变.2006年5月15日,公司完成了股权分置改革,流通股股东每10股获得非流通股股东支付的1股对价股份,非流通股股东共支付800万股对价股份.本次股权分置改革完成后,公司总股本未发生变化,仍为23,125万股,其中有限售条件流通股14,325万股,无限售条件流通股8,800万股.2006年7月,公司实施了2005年度利润分配预案:以资本公积金转增股本,即以公司2005年末的总股本23,125万股为基数,用资本公积金向全体股东每10股转增10股.本次转增完成后,公司股本由23,125万元变更为46,250万元. 2007年3月7日经中国证券监督管理委员会证监发行字200742号文件批复,核准公司非公开发行新股不超过8,000万股. 经与特定投资者和原有股东进行询价后,最终确定公司本次非公开发行股票数量为6,500万股.2007年3月26日,公司在中国证券登记结算有限责任公司深圳分公司办理完成了本次非公开发行股票的股份登记工作,并于2007年3月27日在深圳证券交易所办理完成了上市手续,本次非公开发行股票的新增股份6,500万股于2007年3月29日上市.公司于2007年4月17日取得江苏省工商行政管理局核准的新营业执照,公司注册资本变更为52,750万元人民币. 大亚科技股份有限公司是一家主要从事于包装业、机械制造业、装饰材料业的企业,公司的主要产品包含:铝箔、铝箔复合纸及、卡纸、包装印刷品、聚丙烯丝束、轮毂、中高密度板、木地板、木门及衣帽间等. 公司是国家级重点高新技术和国家火炬计划新材料产业基地骨干企业,并拥有博士后科研工作站,在国内新型包装材料行业占有重要地位.公司生产的人造板、圣象牌强化木地板以及圣象康逸三层实木复合地板在市场中具有很强的竞争优势,产品所属行业是国家鼓励发展和支持的产业.同时公司拥有下游的销售渠道-圣象集团,拥有2800家直销连锁专卖店,公司正在按照国际HOMEDEPOT模式,着力打造拥有自主品牌设计、服务功能、工程材料、消费产品为一体的国内最大的装饰一体化的家居装潢连锁店工程体系.目前公司的造林-人造板-地板产业链体系已具雏形,其林板一体化发展战略也已清晰可见.2.历史模拟法2.1回望历史收盘价表一：2012-10-31起回望500天收盘价日期日收益率收盘价日期日收益率收盘价日期日收益率收盘价2012-10-310.998 4.642012-2-211.033 5.642011-6-141.016 7.192012-10-301.004 4.652012-2-201.019 5.462011-6-130.994 7.082012-10-290.998 4.632012-2-170.983 5.362011-6-101.004 7.122012-10-260.989 4.642012-2-161.004 5.452011-6-90.978 7.092012-10-250.989 4.692012-2-151.017 5.432011-6-81.003 7.252012-10-241.006 4.742012-2-141.008 5.342011-6-71.004 7.232012-10-230.977 4.712012-2-131.000 5.302011-6-31.016 7.202012-10-220.998 4.822012-2-101.000 5.302011-6-20.975 7.092012-10-190.980 4.832012-2-91.017 5.302011-6-11.000 7.272012-10-181.042 4.932012-2-81.026 5.212011-5-311.020 7.272012-10-171.009 4.732012-2-70.971 5.082011-5-300.982 7.132012-10-160.996 4.692012-2-61.016 5.232011-5-270.967 7.262012-10-150.971 4.712012-2-31.020 5.152011-5-260.967 7.512012-10-120.996 4.852012-2-21.018 5.052011-5-250.932 7.772012-10-110.976 4.872012-2-10.986 4.962011-5-241.025 8.342012-10-101.020 4.992012-1-310.990 5.032011-5-231.004 8.142012-10-91.034 4.892012-1-301.002 5.082011-5-190.995 8.112012-10-80.998 4.732012-1-201.004 5.072011-5-181.009 8.152012-9-281.015 4.742012-1-191.012 5.052011-5-171.014 8.082012-9-271.017 4.672012-1-180.984 4.992011-5-160.991 7.972012-9-260.964 4.592012-1-171.050 5.072011-5-131.010 8.042012-9-250.994 4.762012-1-160.984 4.832011-5-120.985 7.962012-9-241.000 4.792012-1-130.965 4.912011-5-110.998 8.082012-9-210.996 4.792012-1-121.000 5.092011-5-101.015 8.102012-9-200.970 4.812012-1-110.992 5.092011-5-91.005 7.982012-9-191.010 4.962012-1-101.030 5.132011-5-61.010 7.942012-9-181.000 4.912012-1-91.048 4.982011-5-50.989 7.862012-9-170.968 4.912012-1-61.006 4.752011-5-40.967 7.952012-9-140.983 5.072012-1-50.979 4.722011-5-31.009 8.222012-9-131.018 5.162012-1-40.976 4.822011-4-291.015 8.152012-9-121.000 5.072011-12-301.016 4.942011-4-280.994 8.032012-9-111.004 5.072011-12-290.998 4.862011-4-270.978 8.082012-9-101.008 5.052011-12-280.992 4.872011-4-260.941 8.262012-9-71.031 5.012011-12-270.992 4.912011-4-250.972 8.782012-9-61.008 4.862011-12-260.972 4.952011-4-221.003 9.032012-9-50.998 4.822011-12-231.002 5.092011-4-211.011 9.00续前表日期日收益率收盘价日期日收益率收盘价日期日收益率收盘价2012-9-40.984 4.832011-12-220.962 5.082011-4-201.008 8.902012-9-31.029 4.912011-12-210.950 5.282011-4-190.990 8.832012-8-311.000 4.772011-12-200.989 5.562011-4-180.991 8.922012-8-300.990 4.772011-12-191.002 5.622011-4-150.988 9.002012-8-290.996 4.822011-12-161.026 5.612011-4-140.987 9.112012-8-281.013 4.842011-12-150.975 5.472011-4-131.004 9.232012-8-270.988 4.782011-12-140.998 5.612011-4-121.004 9.192012-8-240.982 4.842011-12-130.924 5.622011-4-111.009 9.152012-8-231.010 4.932011-12-120.982 6.082011-4-81.003 9.072012-8-220.986 4.882011-12-90.989 6.192011-4-71.001 9.042012-8-211.008 4.952011-12-81.013 6.262011-4-61.016 9.032012-8-201.006 4.912011-12-71.000 6.182011-4-11.014 8.892012-8-170.984 4.882011-12-61.062 6.182011-3-310.968 8.772012-8-160.992 4.962011-12-50.970 5.822011-3-300.995 9.062012-8-150.988 5.002011-12-21.007 6.002011-3-290.979 9.112012-8-141.014 5.062011-12-11.046 5.962011-3-281.012 9.312012-8-130.980 4.992011-11-300.964 5.702011-3-251.009 9.202012-8-100.998 5.092011-11-291.017 5.912011-3-241.017 9.122012-8-91.006 5.102011-11-280.986 5.812011-3-231.011 8.972012-8-80.998 5.072011-11-251.005 5.892011-3-220.987 8.872012-8-70.998 5.082011-11-240.993 5.862011-3-210.993 8.992012-8-61.016 5.092011-11-231.000 5.902011-3-181.021 9.052012-8-31.008 5.012011-11-221.000 5.902011-3-170.984 8.862012-8-21.025 4.972011-11-210.987 5.902011-3-161.024 9.002012-8-11.015 4.852011-11-180.957 5.982011-3-150.981 8.792012-7-310.968 4.782011-11-171.000 6.252011-3-141.017 8.962012-7-300.986 4.942011-11-160.978 6.252011-3-110.990 8.812012-7-271.002 5.012011-11-151.018 6.392011-3-100.999 8.902012-7-260.986 5.002011-11-141.016 6.282011-3-90.994 8.912012-7-251.018 5.072011-11-111.015 6.182011-3-80.992 8.962012-7-241.016 4.982011-11-100.989 6.092011-3-71.018 9.032012-7-230.992 4.902011-11-91.007 6.162011-3-41.024 8.872012-7-200.992 4.942011-11-80.995 6.122011-3-30.976 8.662012-7-191.027 4.982011-11-71.000 6.152011-3-21.006 8.872012-7-181.002 4.852011-11-41.002 6.152011-3-11.010 8.822012-7-170.988 4.842011-11-31.008 6.142011-2-281.000 8.732012-7-160.982 4.902011-11-21.017 6.092011-2-251.019 8.732012-7-131.006 4.992011-11-10.995 5.992011-2-241.011 8.572012-7-121.010 4.962011-10-311.002 6.022011-2-231.029 8.48续前表日期日收益率收盘价日期日收益率收盘价日期日收益率收盘价2012-7-110.998 4.912011-10-281.019 6.012011-2-220.971 8.242012-7-101.000 4.922011-10-271.000 5.902011-2-211.016 8.492012-7-90.990 4.922011-10-261.007 5.902011-2-180.989 8.362012-7-61.010 4.972011-10-251.028 5.862011-2-171.007 8.452012-7-50.992 4.922011-10-241.027 5.702011-2-161.011 8.392012-7-40.996 4.962011-10-210.986 5.552011-2-150.990 8.302012-7-31.008 4.982011-10-200.959 5.632011-2-141.011 8.382012-7-21.006 4.942011-10-190.985 5.872011-2-111.004 8.292012-6-291.008 4.912011-10-180.985 5.962011-2-101.040 8.262012-6-280.974 4.872011-10-170.998 6.052011-2-91.001 7.942012-6-270.994 5.002011-10-140.995 6.062011-2-10.984 7.932012-6-261.000 5.032011-10-131.007 6.092011-1-311.020 8.062012-6-250.969 5.032011-10-121.027 6.052011-1-281.001 7.902012-6-210.979 5.192011-10-111.002 5.892011-1-271.013 7.892012-6-200.994 5.302011-10-100.972 5.882011-1-261.020 7.792012-6-191.000 5.332011-9-301.007 6.052011-1-250.999 7.642012-6-181.013 5.332011-9-290.979 6.012011-1-240.991 7.652012-6-140.989 5.262011-9-280.981 6.142011-1-211.103 7.722012-6-131.015 5.322011-9-271.005 6.262011-1-200.872 7.002012-6-120.998 5.242011-9-260.981 6.232011-1-191.014 8.032012-6-111.015 5.252011-9-230.984 6.352011-1-181.004 7.922012-6-80.994 5.172011-9-220.973 6.452011-1-170.959 7.892012-6-71.000 5.202011-9-211.030 6.632011-1-140.976 8.232012-6-60.981 5.202011-9-201.005 6.442011-1-131.004 8.432012-6-51.000 5.302011-9-190.980 6.412011-1-121.007 8.402012-6-40.976 5.302011-9-160.994 6.542011-1-110.990 8.342012-6-11.007 5.432011-9-151.006 6.582011-1-100.970 8.422012-5-311.006 5.392011-9-141.014 6.542011-1-71.001 8.682012-5-301.000 5.362011-9-130.994 6.452011-1-61.003 8.672012-5-291.011 5.362011-9-90.997 6.492011-1-50.990 8.642012-5-281.011 5.302011-9-80.991 6.512011-1-41.014 8.732012-5-250.987 5.242011-9-71.027 6.572010-12-311.007 8.612012-5-240.974 5.312011-9-60.989 6.402010-12-300.999 8.552012-5-230.987 5.452011-9-50.983 6.472010-12-291.015 8.562012-5-221.007 5.522011-9-20.994 6.582010-12-280.960 8.432012-5-211.002 5.482011-9-10.995 6.622010-12-270.973 8.782012-5-181.015 5.472011-8-310.994 6.652010-12-240.994 9.022012-5-171.002 5.392011-8-301.001 6.692010-12-230.997 9.072012-5-161.006 5.382011-8-290.997 6.682010-12-221.004 9.102012-5-150.998 5.352011-8-260.999 6.702010-12-211.018 9.06续前表日期日收益率收盘价日期日收益率收盘价日期日收益率收盘价2012-5-110.998 5.362011-8-251.028 6.712010-12-200.974 8.902012-5-100.991 5.372011-8-240.998 6.532010-12-170.996 9.142012-5-90.959 5.422011-8-231.020 6.542010-12-160.994 9.182012-5-81.000 5.652011-8-221.005 6.412010-12-150.994 9.242012-5-70.991 5.652011-8-190.988 6.382010-12-141.004 9.302012-5-41.007 5.702011-8-180.974 6.462010-12-131.042 9.262012-5-31.009 5.662011-8-170.998 6.632010-12-101.007 8.892012-5-21.020 5.612011-8-160.991 6.642010-12-90.958 8.832012-4-270.986 5.502011-8-151.018 6.702010-12-80.996 9.222012-4-261.009 5.582011-8-121.015 6.582010-12-70.999 9.262012-4-251.020 5.532011-8-111.019 6.482010-12-60.967 9.272012-4-240.959 5.422011-8-101.008 6.362010-12-31.003 9.592012-4-230.976 5.652011-8-90.978 6.312010-12-21.011 9.562012-4-201.016 5.792011-8-80.935 6.452010-12-11.011 9.462012-4-190.997 5.702011-8-50.980 6.902010-11-300.950 9.362012-4-181.031 5.722011-8-41.006 7.042010-11-290.996 9.852012-4-170.979 5.552011-8-30.997 7.002010-11-260.992 9.892012-4-161.011 5.672011-8-20.989 7.022010-11-250.963 9.972012-4-131.013 5.612011-8-11.003 7.102010-11-241.011 10.352012-4-121.026 5.542011-7-290.986 7.082010-11-231.029 10.242012-4-110.994 5.402011-7-281.010 7.182010-11-220.996 9.952012-4-101.023 5.432011-7-271.011 7.112010-11-191.059 9.992012-4-90.980 5.312011-7-260.999 7.032010-11-181.004 9.432012-4-61.006 5.422011-7-250.962 7.042010-11-171.000 9.392012-4-51.072 5.392011-7-221.001 7.322010-11-161.011 9.392012-3-300.954 5.032011-7-210.983 7.312010-11-151.027 9.292012-3-291.039 5.272011-7-200.996 7.442010-11-120.921 9.052012-3-280.920 5.072011-7-190.982 7.472010-11-110.988 9.832012-3-271.000 5.512011-7-181.020 7.612010-11-101.024 9.952012-3-260.984 5.512011-7-150.988 7.462010-11-90.979 9.722012-3-230.964 5.602011-7-141.016 7.552010-11-81.018 9.932012-3-220.980 5.812011-7-131.018 7.432010-11-51.028 9.752012-3-211.031 5.932011-7-120.975 7.302010-11-41.018 9.482012-3-200.950 5.752011-7-111.012 7.492010-11-30.970 9.312012-3-190.995 6.052011-7-81.010 7.402010-11-20.995 9.602012-3-161.099 6.082011-7-70.993 7.332010-11-11.040 9.652012-3-140.931 5.532011-7-60.997 7.382010-10-291.013 9.282012-3-131.010 5.942011-7-51.000 7.402010-10-281.003 9.162012-3-121.005 5.882011-7-41.019 7.402010-10-271.000 9.132012-3-91.017 5.852011-7-11.001 7.262010-10-261.014 9.13续前表日期日收益率收盘价日期日收益率收盘价日期日收益率收盘价2012-3-81.020 5.752011-6-301.013 7.252010-10-251.023 9.002012-3-71.007 5.642011-6-290.988 7.162010-10-221.032 8.802012-3-60.986 5.602011-6-281.007 7.252010-10-211.058 8.532012-3-51.004 5.682011-6-271.003 7.202010-10-200.916 8.062012-3-21.027 5.662011-6-241.027 7.182010-10-191.019 8.802012-3-11.000 5.512011-6-231.029 6.992010-10-180.980 8.642012-2-290.980 5.512011-6-220.996 6.792010-10-150.993 8.822012-2-280.989 5.622011-6-211.015 6.822010-10-140.964 8.882012-2-271.012 5.682011-6-200.978 6.722010-10-131.031 9.212012-2-240.998 5.612011-6-170.987 6.872010-10-120.996 8.932012-2-230.991 5.622011-6-160.973 6.962010-10-111.006 8.972012-2-221.005 5672011-6-150.994 7.152010-10-88.922.2价值变化表二：价值变化表 【价值变化=（Pt/Pt-1）*P500 】日期价值变化日期价值变化日期价值变化日期价值变化2012-10-314.630 2012-4-254.734 2011-10-184.571 2011-4-134.660 2012-10-304.660 2012-4-244.451 2011-10-174.632 2011-4-124.660 2012-10-294.630 2012-4-234.528 2011-10-144.617 2011-4-114.681 2012-10-264.591 2012-4-204.713 2011-10-134.671 2011-4-84.655 2012-10-254.591 2012-4-194.624 2011-10-124.766 2011-4-74.645 2012-10-244.670 2012-4-184.782 2011-10-114.648 2011-4-64.713 2012-10-234.534 2012-4-174.542 2011-10-104.510 2011-4-14.703 2012-10-224.630 2012-4-164.690 2011-9-304.671 2011-3-314.491 2012-10-194.546 2012-4-134.699 2011-9-294.542 2011-3-304.615 2012-10-184.836 2012-4-124.760 2011-9-284.551 2011-3-294.540 2012-10-174.680 2012-4-114.614 2011-9-274.662 2011-3-284.695 2012-10-164.620 2012-4-104.745 2011-9-264.552 2011-3-254.681 2012-10-154.506 2012-4-94.546 2011-9-234.568 2011-3-244.718 2012-10-124.621 2012-4-64.666 2011-9-224.514 2011-3-234.692 2012-10-114.528 2012-4-54.972 2011-9-214.777 2011-3-224.578 2012-10-104.735 2012-3-304.429 2011-9-204.662 2011-3-214.609 2012-10-94.797 2012-3-294.823 2011-9-194.548 2011-3-184.740 2012-10-84.630 2012-3-284.269 2011-9-164.612 2011-3-174.568 2012-9-284.710 2012-3-274.640 2011-9-154.668 2011-3-164.751 2012-9-274.721 2012-3-264.565 2011-9-144.705 2011-3-154.552 2012-9-264.474 2012-3-234.472 2011-9-134.611 2011-3-144.719 2012-9-254.611 2012-3-224.546 2011-9-94.626 2011-3-114.593 2012-9-244.640 2012-3-214.785 2011-9-84.598 2011-3-104.635 2012-9-214.621 2012-3-204.410 2011-9-74.763 2011-3-94.614 2012-9-204.500 2012-3-194.617 2011-9-64.590 2011-3-84.604 2012-9-194.687 2012-3-165.101 2011-9-54.562 2011-3-74.724 2012-9-184.640 2012-3-144.320 2011-9-24.612 2011-3-44.753 2012-9-174.494 2012-3-134.687 2011-9-14.619 2011-3-34.530 2012-9-144.559 2012-3-124.664 2011-8-314.612 2011-3-24.666 2012-9-134.722 2012-3-94.721 2011-8-304.647 2011-3-14.688 2012-9-124.640 2012-3-84.730 2011-8-294.626 2011-2-284.640 2012-9-114.658 2012-3-74.673 2011-8-264.633 2011-2-254.727 2012-9-104.677 2012-3-64.575 2011-8-254.768 2011-2-244.689 2012-9-74.783 2012-3-54.656 2011-8-244.633 2011-2-234.775 2012-9-64.679 2012-3-24.766 2011-8-234.734 2011-2-224.503 2012-9-54.630 2012-3-14.640 2011-8-224.662 2011-2-214.712 2012-9-44.564 2012-2-294.549 2011-8-194.583 2011-2-184.591 续前表日期价值变化日期价值变化日期价值变化日期价值变化2012-9-34.776 2012-2-284.591 2011-8-184.521 2011-2-174.673 2012-8-314.640 2012-2-274.698 2011-8-174.633 2011-2-164.690 2012-8-304.592 2012-2-244.632 2011-8-164.598 2011-2-154.596 2012-8-294.621 2012-2-234.599 2011-8-154.725 2011-2-