The corporate risk forecasting by Cash Flow at Risk Approach

Georgi Georgiev, Delyan Plachkov

Abstract


The purpose of the scientific report is to illustrate algorithm of corporate risk calculation using the Cash flow at risk approach. CFaR was calculated according to the Top-Down methodology. This methodology is applicable to well-developed economic sector

Keywords


Cash Flow at Risk, top-down approach, enterprise risk management, CFaR, busines risk, Value at risk, VaRр паричен поток под рискр риск мениджмънтр стойност под риск, подход от горе-надолу.

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References


Dowd Kevin, “Introduction to market risk measurement”, John Wiley & Sons Ltd, England 2002

Maurer Frantz, „How Much Cash Is At Risk In U.S. Non-Financial Firms? A VaR-Type Measurement“, The Journal of Applied Business Research, Volume 31, Number 4, July/August 2015

Intuitive Analytics, „Cashflow at Risk (CFaR) forTax-Exempt Liability Management“, Intuitive Analytics LLC, First Edition, September 2006

Andrén Niclas, H. Jankensgård and L. Oxelheim, Exposure-Based Cash-Flow-at-Risk for Value-Creating Risk Management under Macroeconomic Uncertainty, IFN Working Paper No. 843, 2010

Radukanov S., Otsenyavane na pazarniya risk chrez metodologiyata „stoynost pod risk” (var) – osobenosti i prilozhenie, Sotsialno-ikonomicheski analizi, Sotsialno-ikonomicheski analizi, kniga 2/2017 (12)

www.kantox.com/en/glossary/cash-flow-risk-cfar


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