TY - GEN
T1 - Generalized Pareto Distribution fit to the risk of operating cash flow - Empirical evidence from China's listed companies of real estate
AU - Liu, Jinxia
AU - Han, Liyan
AU - Lou, Jing
PY - 2009
Y1 - 2009
N2 - 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.
AB - 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.
KW - Cash-flow-at-risk
KW - China's listed companies of real estate
KW - Generalized Pareto Distribution
UR - https://www.scopus.com/pages/publications/73849111650
U2 - 10.1109/ICMSS.2009.5302146
DO - 10.1109/ICMSS.2009.5302146
M3 - 会议稿件
AN - SCOPUS:73849111650
SN - 9781424446391
T3 - Proceedings - International Conference on Management and Service Science, MASS 2009
BT - Proceedings - International Conference on Management and Service Science, MASS 2009
T2 - International Conference on Management and Service Science, MASS 2009
Y2 - 20 September 2009 through 22 September 2009
ER -