Cash Flow-at-Risk and the Arbitrage Price Theory applied to the risk management of the Brazilian electric sector’s companies

Abstract

This work develops and applies a model of risk management of the Brazilian electric sector’s companies, as well as a systematic for forecast of interest variable. The current environment in which the electric sector’s companies are inserted incorporates extra difficulties in the Brazilian market, difficulties these little excellent before the implementation of the complex Brazilian regulatory system. Beyond the existing and inherent factors of electric risk already to the sector, as the microeconomic conditions of market and pointers changeable such had been considered as: inflation, tax of interests, exchange, price of energy in the open market. The work considers the factors of risk for elaboration of a system of risk management based on the Cash flow-at-risk - Cfar of the Ebitda edge for the period of the first trimester of 1999 to the third trimester of 2007 and nine Brazilian companies of the electric sector. The results had demonstrated that the variable most excellent for the sample in study were the Gross domestic product and the price of electric energy, enter the microeconomic 0 variable most excellent were the yield on the patrimony. How much to the risk, a compatible result with the level of significance of 5% was observed.