Cash flow at risk and risk management in bulk shipping company: Case of capesize bulk carrier

Autor:	Chien-Chang Chou, Chih-Ming Wang, Tzeu-Chen Han
Rok vydání:	2014
Předmět:	Actuarial science business.industry Mechanical Engineering Autoregressive conditional heteroskedasticity Financial risk Ocean Engineering Cash flow forecasting Terminal value Forecast period Financial analysis Econometrics Cash flow business Risk management
Zdroj:	Proceedings of the Institution of Mechanical Engineers, Part M: Journal of Engineering for the Maritime Environment. 230:13-21
ISSN:	2041-3084 1475-0902
DOI:	10.1177/1475090214521178
Popis:	The purpose of this article is to propose an integrated approach for measuring the financial risk in the shipping business. The integrated approach combines the autoregressive conditional heteroskedasticity model, historical data distribution goodness-of-fit test and Monte Carlo simulation. First, a typical forecasting based on the autoregressive conditional heteroskedasticity model is presented to evaluate future cash flows and find that it continues to fall at short periods. Second, the cash flow at-risk measurement by simulation is to understand maximum potential cash flow deficit, and through exposure to develop a risk management strategy that will enable the shipowners or operators to effectively identify, quantify and control most financial risks and exposures.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::dd6698a039585716d6cd73fc70c8b4b8 https://doi.org/10.1177/1475090214521178 Zobrazit plný text záznamu