A Dynamic Model for Cash Flow at Risk

25 Pages Posted: 9 Jan 2019

See all articles by Luca Gentili

Luca Gentili

University of Verona - Department of Economics

Bruno Giacomello

University of Verona - Department of Economics

Dario Girardi

University of Verona - Department of Economics; University of Verona - Department of Economics

Martino Grasselli

University of Padova - Department of Mathematics; Léonard de Vinci Pôle Universitaire, Research Center

Date Written: December 18, 2018

Abstract

In this paper we define a new dynamic approach for measuring the Cash- Flow-at-Risk of a firm. Starting from the assumption that the balance sheet evolves according to a system of difference equations involving the most important accounting records, we define a new risk measure, tailored on our dynamic approach, which takes full advantage of its focus on the liquidity process. A numerical example based on a real case study shows the flexibility of our approach in describing distress and default events.

Keywords: Cash Flow, Difference Equation, Sensitivity Analysis, Cash Flow at Risk

JEL Classification: C02, C13, G31, M40

Suggested Citation

Gentili, Luca and Giacomello, Bruno and Girardi, Dario and Girardi, Dario and Grasselli, Martino, A Dynamic Model for Cash Flow at Risk (December 18, 2018). Available at SSRN: https://ssrn.com/abstract=3307255 or http://dx.doi.org/10.2139/ssrn.3307255

Luca Gentili

University of Verona - Department of Economics ( email )

Via dell'Artigliere, 8
37129 Verona
Italy

Bruno Giacomello

University of Verona - Department of Economics ( email )

Via dell'Artigliere, 8
37129 Verona
Italy

Dario Girardi

University of Verona - Department of Economics ( email )

Via dell'Artigliere, 8
37129 Verona
Italy

University of Verona - Department of Economics ( email )

Via dell'Artigliere, 8
37129 Verona
Italy

Martino Grasselli (Contact Author)

University of Padova - Department of Mathematics ( email )

Via Trieste 63
Padova, Padova
Italy

Léonard de Vinci Pôle Universitaire, Research Center ( email )

Paris La Défense
France

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
146
Abstract Views
738
Rank
360,704
PlumX Metrics