Generalized Pareto Distribution Fit to the Risk of Operating Cash Flow - Empirical Evidence from China's Listed Companies of Real Estate

Generalized Pareto Distribution Fit to the Risk of Operating Cash Flow - Empirical Evidence from China's Listed Companies of Real Estate

Cash-Flow-at-Risk (CFaR) is important to the finance and investment of companies, and it is a significant factor of the corporate risk management. We use the Generalized Pareto Distribution (GPD) to model the operating Cash-Flow-at-Risk of real estate listed companies of China. The empirical results...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: Jinxia Liu, Liyan Han, Jing Lou
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Companies
Economic forecasting
Finance
Financial management
Fluid flow measurement
Gaussian distribution
Investments
Reactive power
Risk analysis
Risk management
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Beschreibung
Zusammenfassung:Cash-Flow-at-Risk (CFaR) is important to the finance and investment of companies, and it is a significant factor of the corporate risk management. We use the Generalized Pareto Distribution (GPD) to model the operating Cash-Flow-at-Risk of real estate listed companies of China. The empirical results show that the GPD outperforms the Normal distribution, allowing actuaries to estimate high quantiles, and providing evaluations of the relative reliability to managers.
DOI:10.1109/ICMSS.2009.5302146