Generalized Pareto Distribution Fit to the Risk of Operating Cash Flow - Empirical Evidence from China's Listed Companies of Real Estate

摘要

Cash-Flow-at-Risk (CFaR) is important to the finance and investment of companies, and it is a significant factor of the corporate risk management. We use the Generalized Pareto Distribution (GPD) to model the operating Cash-Flow-at-Risk of real estate listed companies of China. The empirical results show that the GPD outperforms the Normal distribution, allowing actuaries to estimate high quantiles, and providing evaluations of the relative reliability to managers.