Working Paper No. 635

Exposure-based Cash-Flow-at-Risk under Macroeconomic Uncertainty

Publicerad: March 14, 2005Antal sidor: 25Nyckelord: Cash-Flow-at Risk; Corporate Hedging; Downside Risk; Risk Exposure; MUST-analysis; Value-at-Risk JEL-koder: F23; F37; G30; G32; M21

Exposure-based Cash-Flow-at-Risk under Macroeconomic Uncertainty Niclas Andrén, Håkan Jankensgård and Lars Oxelheim


In this paper we derive an exposure-based measure of Cash-Flow-at-Risk (CFaR). Existing approaches to calculating CFaR either only focus on cash flow conditional on market changes or neglect market-risk exposures entirely. We argue here that an essential first step in a risk-management program is to quantify cash-flow exposure to macroeconomic and market risk. This is the information relevant for corporate hedging. However, it is the total level of cash flow in relation to the firm’s capital needs that is the information relevant for decision-making. The firm’s overall CFaR is then calculated based on an assessment of corporate risk exposure.

 

Lars Oxelheim

Kontakt

Tel: 08 665 4527
Mobil: 070 861 9361
lars.oxelheim@ifn.se

Kollektivavtal och lönebildning i en ny tid

Kollektivavtal-framsida.gif

 Kollektivavtal och lönebildning i en ny tid av Lars Calmfors, Simon Ek och Per Skedinger, IFN, samt Ann-Sofie Kolm, Stockholms universitet, analyseras olika sätt att göra lönebildningen mer flexibel. Analysen utmanar den etablerade synen inom partsorganisationerna på hur lönebildningen bör fungera. 

Läs mer

Institutet för Näringslivsforskning, Grevgatan 34 - 2 tr, Box 55665, SE-102 15 Stockholm, Sweden | Tel: +46-(0)8-665 45 00 | info@ifn.se