基于CFaR 的企业现金流风险度量研究

从在险价值(VaR)的概念出发，引入了现金流在险价值(CFaR)的概念，分析了CFaR 的建模方法。采用自上而下决策选择，建立了企业现金流在险值计量模型，以此为基础，并结合基于风险敞口的现金流在险值估计模型，将现金流在险值概念应用于中国大陆非金融行业的上市公司，对其现金流风险进行评价。研究结果表明，基于CFaR 的风险模型能较为准确度量制造业企业现金流风险。

Research on Measurement Company's Cash Flow Risk Using CFaR Model

Based on the concept of Value at Risk, the concept of Cash Flow at Risk is analyzed and the modeling method on CFaR is explained. According to the literatures, the estimating models of company's cash flow risk and risk exposure estimation are set up in the view of policy selection. The cash flow risk of the Chinese listed companies excluding financial companies is researched and evaluated for the first time by making use of CFaR method. The results show that Cash Flow at Risk model is good at the measurement of company's cash flow risk.