Measuring VaR of Discounted Cash Flows. Application to a Business Case

This article seeks to appropriate a Cash Flow at Risk –CFAR- model from the literature developed in the research of Postgraduate, Measuring Value at Risk of Discounted Cash Flow for the Colombian Firm not listed on the stock market and apply it to a non-financial firm at the real sector, which speci...

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Autores:
Jenny Moscoso Escobar
Tipo de recurso:
Fecha de publicación:
2019
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/14017
Acceso en línea:
http://hdl.handle.net/10784/14017
Palabra clave:
Corporate Finance
Business Risk
Market Risk
Value at Risk
Cash Flow
Montecarlo Simulation
Application Case Firm
Administración del riesgo corporativo
flujo de caja libre
riesgo financiero
riesgo del negocio
flujo de caja en riesgo
estados financieros proyectados
tasa de descuento
simulación Montecarlo
caso aplicado al sector real.
Rights
License
Copyright © 2009 Jenny Moscoso Escobar
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees13/12/20092019-10-04T14:30:46Z13/12/20092019-10-04T14:30:46Z2256-43221692-0279http://hdl.handle.net/10784/14017This article seeks to appropriate a Cash Flow at Risk –CFAR- model from the literature developed in the research of Postgraduate, Measuring Value at Risk of Discounted Cash Flow for the Colombian Firm not listed on the stock market and apply it to a non-financial firm at the real sector, which specifies the operational and macroeconomic variables as random results, in a process of statistical modeling by Monte Carlo simulation approach structured in order to measure the variation in future cash flows discounted by a risk-adjusted rates for applications such as toolmaking decisions through the CFaR.A partir de la literatura existente se pretende mostrar el modelo de Flujo de Caja en Riesgo (CFaR), desarrollado en la investigación titulada, “Medición del valor en riesgo de los flujos de caja descontados para la empresa colombiana que no cotiza en bolsa”. Al mismo tiempo, aplicarlo a una empresa no financiera del sector real, con especificación de las variables operacionales y macroeconómicas como resultados aleatorios, en un proceso de modelado estadístico por medio del enfoque de Simulación Montecarlo Estructurado. El objetivo es medir la posible variación de los flujos de caja futuros descontados, a través de una tasa ajustada por riesgo, para aplicarla como herramienta de toma de decisiones con base en el CFaR.text/htmlspaUniversidad EAFIThttp://publicaciones.eafit.edu.co/index.php/administer/article/view/203http://publicaciones.eafit.edu.co/index.php/administer/article/view/203Copyright © 2009 Jenny Moscoso EscobarAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITAD-minister: No 15 (2009)Measuring VaR of Discounted Cash Flows. Application to a Business CaseMedición del valor en riesgo de los flujos de caja descontados. Aplicación a un caso empresarialarticleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Corporate FinanceBusiness RiskMarket RiskValue at RiskCash FlowMontecarlo SimulationApplication Case FirmAdministración del riesgo corporativoflujo de caja libreriesgo financieroriesgo del negocioflujo de caja en riesgoestados financieros proyectadostasa de descuentosimulación Montecarlocaso aplicado al sector real.Jenny Moscoso EscobarUniversidad de AntioquiaAD-minister154767THUMBNAILminiatura-administer.jpgminiatura-administer.jpgimage/jpeg8755https://repository.eafit.edu.co/bitstreams/3ffee244-72ce-4f14-b2b8-08d38b74f323/download87c28d32b620f3408b1c70a3c505fbd8MD51ORIGINALMeasuring VaR of Discounted Cash Flows. Application to a Business Case.pdfMeasuring VaR of Discounted Cash Flows. Application to a Business Case.pdfTexto completo PDFapplication/pdf1552305https://repository.eafit.edu.co/bitstreams/dc3e7819-701a-4c7d-a1ea-ef21ae6cafa1/download17c4cb38150abaf1d22f463fb0f84a33MD52articulo.htmlarticulo.htmlTexto completo HTMLtext/html373https://repository.eafit.edu.co/bitstreams/6666ebab-e46e-433a-8489-801a6971ea6c/download688706ab9f766c90536c8e04e578bb6aMD5310784/14017oai:repository.eafit.edu.co:10784/140172019-11-30 09:24:28.84open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Measuring VaR of Discounted Cash Flows. Application to a Business Case
dc.title.spa.fl_str_mv Medición del valor en riesgo de los flujos de caja descontados. Aplicación a un caso empresarial
title Measuring VaR of Discounted Cash Flows. Application to a Business Case
spellingShingle Measuring VaR of Discounted Cash Flows. Application to a Business Case
Corporate Finance
Business Risk
Market Risk
Value at Risk
Cash Flow
Montecarlo Simulation
Application Case Firm
Administración del riesgo corporativo
flujo de caja libre
riesgo financiero
riesgo del negocio
flujo de caja en riesgo
estados financieros proyectados
tasa de descuento
simulación Montecarlo
caso aplicado al sector real.
title_short Measuring VaR of Discounted Cash Flows. Application to a Business Case
title_full Measuring VaR of Discounted Cash Flows. Application to a Business Case
title_fullStr Measuring VaR of Discounted Cash Flows. Application to a Business Case
title_full_unstemmed Measuring VaR of Discounted Cash Flows. Application to a Business Case
title_sort Measuring VaR of Discounted Cash Flows. Application to a Business Case
dc.creator.fl_str_mv Jenny Moscoso Escobar
dc.contributor.author.spa.fl_str_mv Jenny Moscoso Escobar
dc.contributor.affiliation.spa.fl_str_mv Universidad de Antioquia
dc.subject.keyword.eng.fl_str_mv Corporate Finance
Business Risk
Market Risk
Value at Risk
Cash Flow
Montecarlo Simulation
Application Case Firm
topic Corporate Finance
Business Risk
Market Risk
Value at Risk
Cash Flow
Montecarlo Simulation
Application Case Firm
Administración del riesgo corporativo
flujo de caja libre
riesgo financiero
riesgo del negocio
flujo de caja en riesgo
estados financieros proyectados
tasa de descuento
simulación Montecarlo
caso aplicado al sector real.
dc.subject.keyword.spa.fl_str_mv Administración del riesgo corporativo
flujo de caja libre
riesgo financiero
riesgo del negocio
flujo de caja en riesgo
estados financieros proyectados
tasa de descuento
simulación Montecarlo
caso aplicado al sector real.
description This article seeks to appropriate a Cash Flow at Risk –CFAR- model from the literature developed in the research of Postgraduate, Measuring Value at Risk of Discounted Cash Flow for the Colombian Firm not listed on the stock market and apply it to a non-financial firm at the real sector, which specifies the operational and macroeconomic variables as random results, in a process of statistical modeling by Monte Carlo simulation approach structured in order to measure the variation in future cash flows discounted by a risk-adjusted rates for applications such as toolmaking decisions through the CFaR.
publishDate 2019
dc.date.issued.none.fl_str_mv 13/12/2009
dc.date.available.none.fl_str_mv 2019-10-04T14:30:46Z
dc.date.accessioned.none.fl_str_mv 2019-10-04T14:30:46Z
dc.date.none.fl_str_mv 13/12/2009
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
publishedVersion
info:eu-repo/semantics/publishedVersion
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 2256-4322
1692-0279
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/14017
identifier_str_mv 2256-4322
1692-0279
url http://hdl.handle.net/10784/14017
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.isversionof.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/administer/article/view/203
dc.relation.uri.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/administer/article/view/203
dc.rights.eng.fl_str_mv Copyright © 2009 Jenny Moscoso Escobar
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Copyright © 2009 Jenny Moscoso Escobar
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv text/html
dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv instname:Universidad EAFIT
reponame:Repositorio Institucional Universidad EAFIT
dc.source.spa.fl_str_mv AD-minister: No 15 (2009)
instname_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio Institucional Universidad EAFIT
collection Repositorio Institucional Universidad EAFIT
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