Extending value at risk to a corporate setting : an application to Fonterra Cooperative : a thesis presented in partial fulfillment of the requirements for the degree of Master of Business Studies in Finance at Massey University
Loading...
Date
2005
DOI
Open Access Location
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Massey University
Rights
The Author
Abstract
This paper demonstrates the development and application of a corporate Value-at-Risk model. Using the RiskMetrics Group's CorporateMetrics as a starting point we show how the framework can be modified to meet the specific needs of Fonterra Cooperative, a major New Zealand dairy exporter. We develop a Monte-Carlo simulation model that uses univariate ARIMA and multivariate Vector Error Correction (VECM) forecast models to estimate the Value-at-Risk on Fonterra Group Treasury's interest rate and FX hedge portfolio over a 15-month period.
Description
Keywords
New Zealand, Financial risk management, Finance, Fonterra, Dairying, Risk management