Fluxo de Caixa em Risco: Diferentes Métodos de Estimação Testados no Setor Siderúrgico Brasileiro

Risk management is a subject that, crisis after crisis, assumes arelevant role in the environment of non-nancial companies. Despite thegrowing importance of the subject, debate about the introduction of a modelcapable of evaluating the risks to which companies are exposed is still inits infancy. Considering this gap and the importance of the theme forcompanies, this study proposes constructing an empirical cash ow at riskmodel and applying it to companies in the steel sector in Brazil. We haveanalyzed two methods of risk factors identication: sector components andcompany-level components. After such identication, simulations of riskfactors future behavior were made using either the historical distributionof each risk factors and residuals of each risk factor time-series model. Inaddition, a third (and naïıve) method was tested: bootstrap of eachcomponent of the cashow.