Cash flow at risk: different estimation methods tested in the Brazilian steel industry
| Autor: | Danilo Soares de Medeiros, Leandro Josias Sathler Berbet, Flávia Vital Januzzi, Fernanda Finotti Cordeiro Perobelli |
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| Jazyk: | English<br />Portuguese |
| Rok vydání: | 2007 |
| Předmět: | |
| Zdroj: | Revista Brasileira de Finanças, Vol 5, Iss 2, Pp 165-204 (2007) |
| Druh dokumentu: | article |
| ISSN: | 1679-0731 1984-5146 |
| Popis: | Risk management is a subject that, crisis after crisis, assumes a relevant role in the environment of non-financial companies. Despite the growing importance of the subject, debate about the introduction of a model capable of evaluating the risks to which companies are exposed is still in its infancy. Considering this gap and the importance of the theme for companies, this study proposes constructing an empirical cash flow at risk model and applying it to companies in the steel sector in Brazil. We have analyzed two methods of risk factors identification: sector components and company-level components. After such identification, simulations of risk factors future behavior were made using either the historical distribution of each risk factors and residuals of each risk factor time-series model. In addition, a third (and naïve) method was tested: bootstrap of each component of the cashflow. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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