建立了基于Bootstrap仿真的广义Pareto经营现金流风险(CFaR)模型,在广义Pareto分布的框架下运用基于Bootstrap仿真得到现金流风险价值,以克服广义Pareto分布的小样本造成的估计误差,提高分析的可信度,并改进了广义Pareto模型的不足.将该模型用于中国房地产上市公司现金流风险价值估计,得到了满意的结果.
Discusses the nonparametric Bootstrap simulation and the generalized Pareto distribution (GPD), and combined the two methods to model the cash flow at risk (CFaR). The GPD method based on bootstrap simulation overcomes the defects of GPD, improves the precision, and is applied to estimate the operating CFaR of the real estate listed companies of China. The results prove that the model is effective for CFaR evaluation.