Cash flow at risk: different estimation methods tested in the Brazilian steel industry

Fernanda Perobelli, Flávia Vital Januzzi (), Leandro Josias Sathler Berbet () and Danilo Soares de Medeiros ()

Brazilian Review of Finance, 2007, vol. 5, issue 2, 165-204

Abstract: Risk management is a subject that, crisis after crisis, assumes a relevant role in the environment of non-financial companies. Despite the growing importance of the subject, debate about the introduction of a model capable of evaluating the risks to which companies are exposed is still in its infancy. Considering this gap and the importance of the theme for companies, this study proposes constructing an empirical cash flow at risk model and applying it to companies in the steel sector in Brazil. We have analyzed two methods of risk factors identification: sector components and company-level components. After such identification, simulations of risk factors future behavior were made using either the historical distribution of each risk factors and residuals of each risk factor time-series model. In addition, a third (and naive) method was tested: bootstrap of each component of the cash flow.

Keywords: market risks management; non-financial institutions; Brazilian steel sector (search for similar items in EconPapers)
JEL-codes: C15 C22 C23 G32 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:5:y:2007:i:2:p:165-204

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