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Building an In house Solution to Cash-Flow-at-Risk

In house cash-flow-at-risk solution

While some companies will spend tens of thousands of dollars on a vendor solution to compute Cash-Flow-at-Risk, JTI (Japan Tobacco International) has implemented a low-cost, in-house solution using Excel. Vincent Delort, Risk and Reporting Manager at the company, shares the inside track on the project – including the precise Excel formulae used.

Key Points

  • VaR vs CFaR: at a glance
  • Honing the methodology
  • Useful formulae
  • Monte Carlo method
  • Translating formulae into Excel



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Written by:

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Vincent Delort

JTI

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