In this paper we define a new dynamic approach for measuring the Cash-Flowat- 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 Dynamic Model for Cash Flow at Risk
Luca Gentili;Bruno Giacomello;Dario Girardi;
2018-01-01
Abstract
In this paper we define a new dynamic approach for measuring the Cash-Flowat- 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.
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