Economic Factors, Hedging and Cash Flow at Risk

• Main Authors: Yun-Chung Tseng, 曾韻中
• Other Authors: Po-Chin Wu
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/75006557172782114580

碩士 === 中原大學 === 國際貿易研究所 === 95 === With the impact of globalization and liberalization on the financial environment, enterprises are facing more uncertain factors and also abiding by much more risks. The traditional method of ponder risks “VaR”, it only concern about shorten variation of the portfolio, but it not adapt to non-financial companies but financial ones,so this discourse wish to apply the concept of VaR in non-financial companies,and also using CFaR model to estimate and manage risks in order to provide numerical chapter and verse as financial companies does. In empirical study, this research selects 19 listed Semiconductor companies in Taiwan Stock Exchange Market. Sample period spans from the third quarter in 2000 to the second quarter in 2006. Regard EBITDA as the proxy of the cash flow and estimate it with the variables of TWD/USD exchange rate.consumer price index, deposit rate-3 month, composite leading index and Philadelphia semiconductor index. Fianlly use above estimated equations to assess the cash flow at risk. In order to utilize coming back and analysing that find out the appropriate overall factor which influence the cash flow progressively at first, and by mixing estimating regular result and random result model in the law try to get the cash flow estimating type, and then utilize history to imitate the law and Monte Carlo simulation law and estimate the cash flow of the 1st season from the third season of 2006 to 2007 in advance, offer the greatest loss of possibility of its cash flow and avoid the dangerous effect. The empirical result shows that the economic risk factors influencing semiconductor company’s cash flow are TWD/USD exchange rate, leading index comprehensive indicator for Philadelphia semiconductor index and new Taiwan dollar respectively overall. From the results of forecasting performance, this research proves that the companies in each semiconductor sub-industry is suitable to adopt different estimate model to estimate and simulation the cash flow. This conclusion is different from that in literatures.