Cash-flow-at-risk : anÃlise e aplicaÃÃo em uma empresa de energia

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

The Cash-Flow-at-Risk (CFaR) framework tries to find the worst cash flow value created by the influence of risk factors; it comes from the attempt of non-financial firms of improving their risk management over earnings and cash flow in the nineties pushed by a lack of efficiency and the value-at-risk spotlight. This dissertation has the goal to apply the CFaR metodology created by AdrÃn, Jankensgard e Oxelheim (2005) in a Brazilian electric enterprise called Companhia Hidro ElÃttrica do SÃo Francisco (Chesf). For this purpose was taken datas from Chesf EBITDA and from risk factors group which could show some effect in Chesf EBITDA performance. These risk factors were firstly chosen by analyzing the Brazilian electric sector and related papers and Chesf features about risk factors in electric companies. The CFaR procedure was done in two ways. The first one used MUST analisys in order to construct the exposure model, finding the relevant risk factors. The second way was simulation intensive in order to create the factors dependent EBITDA and independent EBITDA distributions. The first way results show PIB, IGPM and IPCA as the relevant risk factors while the second way find the conditional CFaR value: 83.765 millions and the independent CFaR value: 100.560, both using a significant level of 5%. Nesting these two distribuitions was possible to calculate the Chesf CFaR of 87.184 millions with a significant level of 5%. The EBITDA true value was bigger than the calculated value

ASSUNTO(S)

cash-flow-at-risk chesf ebitda administracao ebitda empresas nÃo financeiras non financial firms chesf cash-flow-at-risk

ACESSO AO ARTIGO

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