Cash Flow-at-Risk and the Arbitrage Price Theory applied to the risk management of the Brazilian electric sector’s companies ; Cash Flow-at-Risk e a Teoria de Precificação por Arbitragem aplicados ao Gerenciamento de Risco de Empresas do Setor Elétrico Brasileiro

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. ; brasileiro, bem como uma sistemática para previsão de variáveis de interesse. O atual ambiente no qual as empresas do setor elétrico estão inseridas incorpora dificuldades extras no mercado brasileiro, dificuldades estas pouco relevantes antes da implementação do complexo sistema regulatório brasileiro. Além dos fatores de risco já existentes e inerentes ao setor elétricos, como as condições de mercado e indicadores microeconômicos foram considerados variáveis tais como: inflação, taxa de juros, de câmbio, preço de energia no mercado aberto. O trabalho considera os fatores de risco (micro e macroeconômicos) para elaboração de um sistema de gerenciamento de risco baseado no Cash flow-at-risk – Cfar da margem Ebitda para o período do primeiro trimestre de 1999 ao terceiro ...