Andrén, Niclas; Jankensgård, Håkan; Oxelheim, Lars - Institutet för Näringslivsforskning (IFN) - 2005
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 …