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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