Cash Flow at Risk Based on Bootstrap Simulating and Generalized Pareto Distribution

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.