Estimation Of Cash Flow At Risk And Hedge

With the impact of globalization and liberalization on the economical environment, enterprises are facing more uncertain factors and also abiding by much more challenge.The traditional method of ponder risks"VaR"is very valuable for financial companies.But financial companies and non-financial companies is different,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 8 listed coal companies in Mainland Stock Exchange Market.Sample period spans from the first bannian in 2005 to the first bannian in 2008.Regard Earning Before Tax,Depreciation and Amortization as the proxy of the cash flow and estimate it with the variables of call rate-90 day,RMB/USD exchange rate,consumer price index,Shenyin coal index to find out the appropriate overall factor which influence the cash flow progressively at first, anuse monte carlo and ARMA-GRACH monte to estimate factor and use mixing estimating regular result and random result model in the law to get the cash flow estimating type,and then utilize Monte Carlo simulation law and estimate the cash flow of the first bannian of 2008 in advance,offer the greatest loss of possibility of its cash flow and avoid the dangerous effect.Comparing the real result and forecasting result,we konow that it better to use different model to forecast different company's cash flow.From the result we hedge the economic risk factors,call rate-90 day worth hedging at first.