摘要
从在险价值(VaR)的概念出发,引入了现金流在险价值(CFaR)的概念,分析了CFaR的建模方法。采用自上而下决策选择,建立了企业现金流在险值计量模型,以此为基础,并结合基于风险敞口的现金流在险值估计模型,将现金流在险值概念应用于中国大陆非金融行业的上市公司,对其现金流风险进行评价。研究结果表明,基于CFaR的风险模型能较为准确度量制造业企业现金流风险。
Based on the concept of Value at Risk, the concept of Cash Flow at Risk is analyzed and the modeling method on CFaR is explained. According to the literatures, the estimating models of company＇s cash flow risk and risk exposure estimation are set up in the view of policy selection. The cash flow risk of the Chinese listed companies excluding financial companies is researched and evaluated for the first time by＇ making use of CFaR method. The results show that Cash Flow at Risk model is good at the measurement of company＇ s cash flow risk.
出处
《北京理工大学学报（社会科学版）》
CSSCI
2010年第3期61-65,70,共6页
Journal of Beijing Institute of Technology：Social Sciences Edition
关键词
现金流
风险
CFAR
cash flow
risk
cash flow at risk
