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

dc.contributor.author	Cahan, Jared M
dc.date.accessioned	2016-10-10T22:20:55Z
dc.date.available	2016-10-10T22:20:55Z
dc.date.issued	2005
dc.description.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.	en_US
dc.identifier.uri	http://hdl.handle.net/10179/9951
dc.language.iso	en	en_US
dc.publisher	Massey University	en_US
dc.rights	The Author	en_US
dc.subject	New Zealand	en_US
dc.subject	Financial risk management	en_US
dc.subject	Finance	en_US
dc.subject	Fonterra	en_US
dc.subject	Dairying	en_US
dc.subject	Risk management	en_US
dc.title	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	en_US
dc.type	Thesis	en_US
massey.contributor.author	Cahan, Jared M	en_US
thesis.degree.discipline	Finance	en_US
thesis.degree.grantor	Massey University	en_US
thesis.degree.level	Masters	en_US
thesis.degree.name	Master of Business Studies (M. B. S.)	en_US

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