Comparing the Cash Flow-at-Risk of the Corporations in South-East Countries

• Main Authors: chia-chun tsai, 蔡佳君
• Other Authors: Ming-Shann Tsai
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/48191834002387733034

碩士 === 國立暨南國際大學 === 財務金融學系 === 96 === Value at Risk (VaR) is a popular measure of market risk and it became a key measure of market risk. In the resent year, VaR is applied to non-financial corporation. CashFlow-at-risk method is proposed to predict the probability of the cash flow of company in the future. Existing approaches to calculating CFaR either only focus on cash flow conditional on market changes or neglect market-risk exposures entirely. We use the exposure-based CFaR to measure the market risk to non-financial corporation in manufacturing industry, consuming industry and other industry of South-East Asian countries. Then we use four different approach to measure CFaR and compare it. We find the exposure-based CFaR is more moderate approach.