DocumentCode
2102722
Title
Generalized Pareto Distribution Fit to the Risk of Operating Cash Flow - Empirical Evidence from China´s Listed Companies of Real Estate
Author
Liu, Jinxia ; Han, Liyan ; Lou, Jing
Author_Institution
Sch. of Econ. & Manage., BeiHang Univ. (BUAA), Beijing, China
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
4
Abstract
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.
Keywords
Pareto distribution; financial data processing; investment; real estate data processing; risk management; China real estate listed company; cash-flow-at-risk; corporate risk management; finance; generalized Pareto distribution; investment; Companies; Economic forecasting; Finance; Financial management; Fluid flow measurement; Gaussian distribution; Investments; Reactive power; Risk analysis; Risk management;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-4638-4
Electronic_ISBN
978-1-4244-4639-1
Type
conf
DOI
10.1109/ICMSS.2009.5302146
Filename
5302146
Link To Document