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  • 标题:Cash flow at risk: different estimation methods tested in the Brazilian steel industry
  • 本地全文:下载
  • 作者:Fernanda Finotti Cordeiro Perobelli ; Flávia Vital Januzzi ; Leandro Josias Sathler Berbet
  • 期刊名称:Brazilian Review of Finance
  • 印刷版ISSN:1984-5146
  • 出版年度:2007
  • 卷号:5
  • 期号:2
  • 页码:165-204
  • 语种:Portuguese
  • 出版社:Link to the Brazilian Society of Finance
  • 摘要: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 naïıve) method was tested: bootstrap of each component of the cashflow.
  • 其他摘要: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 naïıve) method was tested: bootstrap of each component of the cashflow.
  • 关键词:market risks management;non-financial institutions;Brazilian steel sector;gerenciamento de riscos de mercado;instituições não financeiras;setor siderúrgico
  • 其他关键词:Business;market risks management; non-financial institutions; Brazilian steel sector;G32; C15; C22; C23
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