One of the fundamental premises of financial reporting by business enterprises is that it should provide users with information that will assist them in predicting the amounts, timing and uncertainty of future cash flows of the enterprise. The requirement for alternative income measurements was partially justified by an assumed correspondence between the new information and the cash flow prediction objective. The existence of that correspondence, however, has not been precisely verified by the research to date. The overall objective of this research was to contribute additional evidence to address conflicts in the prior research findings, and additionally, to consider possible industry and firm-size effects on the ability to predict cash flow from alternative incomes. A data base was compiled from COMPUSTAT tapes (historical cost), the Parker model restatement procedures (general price-level) and the Easman data base that used the Falkenstein-Weil restatement model (replacement cost). One conclusion was that the alternative income measurements produce different cash flow forecast errors. Overall, historical cost net income produced the lowest forecast errors for two approximations of cash flow. The inclusion of monetary gains/losses and holding gains/losses in net income did not improve predictions, and in one case worsened them. Another conclusion was that a multiple linear regression model produced significantly lower forecast errors for both cash flow definitions. The simple linear and exponential regression prediction models did not produce different forecast errors. Finally, both an industry effect and a firm-size effect were identified in the prediction of working capital from operations. When net income plus depreciation was the object of prediction, an industry effect was identified but not a firm-size effect. The overall impact of these findings is that the alternative income measurements should be justified on some basis other than facilitating cash flow prediction. In fact, a random-walk cash flow prediction model performed better than any prediction based on net income. Financial accounting standards in the area of alternative income measurements should consider possible industry and firm-size differences. The choice of cash flow definition is apparently critical because different conclusions were obtained. / Ph. D.

An investment in a private equity is any investment made in a financial asset that is not publicly traded. As such these assets are very difficult to value and also give rise to great difficulty when it comes to quantifying risk. In a typical private equity investment the investor commits a prespecified amount of capital to a fund, this capital will be called upon as needed by the fund and eventually capital will be returned to the investor by the fund as it starts to turn a profit. In this way a private equity investment can be boiled down to consist of two cash flows, the contributions to the fund and distributions from the fund to the investor. These cash flows are usually made within a prespecified time frame but at unspecified intervals and amounts. As an investor in a fund, carrying too little liquid assets when contributions are called upon will cause trouble, but carrying significantly more than needed is also not desirable as it represents a loss in potential revenue from having less capital in more profitable investments. The goal of this thesis was to attempt to find a way to reliably model these cash flows and to find a way to represent the results in a meaningful way for the benefit of the investor by constructing value at risk like risk measures for the necessary liquid capital to carry at a given time in case contributions are called upon. It was found that the distributions could be modelled very well with the chosen stochastic processes, both as it related to predicting the average path of the cash flows and as it relates to modelling the variability of them. Contrary to this it was found that the contributions could not be modelled very well. The reason for this was found to be an observed lag in the speed of contributions at the start of the funds lifetime, this lag was not taken into account when constructing the stochastic model and hence it produced simulated cash flows not in line with those used in the calibration. / En investering i private equity är en investering i en tillgång som inte är börsnoterade. På grund av detta är sådana tillgångar väldigt svåra att värdera och medför även store svårigheter när det kommer till att kvantifiera risk. I en typisk private equity investering so ingår en investerare i ett löfte att under en viss förbestämd tidsperiod bidra med en fixt mängd kapital till en private equity fond. Detta kapital kommer att gradvis kallas på av fonden vid behov för att sedan mot slutet av fondens livstid ge utdelning när private equity fonden börjar göra en vinst. På detta viset kan en private equity investering brytas ner i två kassaflöden, kontributioner in i fonden, och distributioner ut ur fonden. Dessa kassaflöden sker under en förbestämd tidsperiod men ej förbestämda belopp. Som en investerare i denna typen av fond är därför en risk att bära för lite likvid kapital när kontributioner blir kallade på men även oattraktivt att bäre på för mycket de detta representerar förlorar potentiell avkastning. Målet i denna uppsatts är att hitta ett sätt att på att tillförlitligt vis modellera dessa kassaflöden och representera resultaten på ett meningsfullt sätt från perspektivet av en investerare. För att uppnå detta skapades value-at-risk liknande mått för mängden likvid kapital som krävs under en tidsperiod för att säkra sig mot påkallade kontributioner. Slutsatsen blev att distributioner kunde modelleras väl, både när det kom till att efterlikna den genomsnittliga vägen av kassaflöden och även för att modellera risken. I kontrast till detta så kunde inte kontributioner modelleras mot tillräckligt hög säkerhet för att användes i det ämnade syftena. Anledningen till detta var en eftersläpning i hastigheten som kontributioner kallades med som inte tågs i beaktande av den tillämpade matematiska modellen.

In Statement No. 33, "Financial Reporting and Changing Prices," the FASB requires that some large companies disclose their historical cost/constant dollar and current cost information in the published financial statements. One of the purposes of these disclosures is to help users of the financial statements in assessing future cash flows. This study was directed toward the examination of the effects of the different levels of disclosures on cash flow projections.

Submitted by Vinícius Bisogni (vibisogni@uol.com.br) on 2014-08-26T22:48:46Z No. of bitstreams: 1 Dissertacao_Vinicius de Araujo Bisogni.pdf: 2688252 bytes, checksum: 608dee9763c8c1a015d3b54b3692c5b0 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-27T11:45:32Z (GMT) No. of bitstreams: 1 Dissertacao_Vinicius de Araujo Bisogni.pdf: 2688252 bytes, checksum: 608dee9763c8c1a015d3b54b3692c5b0 (MD5) / Made available in DSpace on 2014-08-27T12:01:56Z (GMT). No. of bitstreams: 1 Dissertacao_Vinicius de Araujo Bisogni.pdf: 2688252 bytes, checksum: 608dee9763c8c1a015d3b54b3692c5b0 (MD5) Previous issue date: 2014-07-30 / This paper aims to compare different methods of forecasting cash needs in overnight, to ensure that the liquidity of a particular financial product - in this case, the Call Deposits (Demand Deposits Account, in foreign currency) - are sufficient to cover the liquidity risks of a financial institution and, in other hand, optimize the profit provided from the remaining balance that exceeds the outputs of the models. Here, the Cash Flow model of Schmaltz (2009), which segregates the model in different components (deterministic and stochastic), is applied to determine the cash needs and, through the Monte Carlo method for predicting different cash flows, is stipulated an average value of balance to be used in overnight. As a contrast, the deterministic model of Ringbom et al (2004) is used to provide the "Profit-Maximizing Reserve Ratio" to finally compare both of them historically, between Jan/2009 and Dec/2013, in order to conclude which of models of cash reserve shows to be more satisfying. The database used replicate balances and withdraws of a commercial bank, to this specific financial product, and it is also used for parameters estimation. / Este trabalho tem como objetivo comparar diferentes métodos de previsão de necessidades de caixa no overnight, que assegurem que a liquidez de um produto financeiro específico – neste caso, o Call Deposits (Depósito à Vista, em moeda estrangeira) – seja suficiente para cobrir os riscos de liquidez de uma instituição financeira e, em contrapartida, otimizem o lucro oriundo do saldo restante que ultrapasse o valor de saída destes modelos. Para isso, o modelo de Fluxo de Caixa de Schmaltz (2009), que segrega os diferentes componentes do caixa (determinísticos e estocásticos), será utilizado para determinar as necessidades de caixa e, através do método de Monte Carlo para a previsão de diferentes caminhos, chegamos a um valor médio de saldo para ser utilizado no overnight. Como comparativo, será utilizado o modelo determinístico de Ringbom et al (2004), que oferece a 'Taxa de Reserva de Maximização de Lucro', para, enfim, compará-los historicamente, entre Jan/2009 e Dez/2013, a fim de concluirmos qual dos modelos de reservas de caixa se mostra mais satisfatório. A base de dados utilizada replica os saldos e saques de um banco comercial, para o produto financeiro em questão, e, também, é utilizada para a estimação dos parâmetros.

The thesis deals with the individual aspects of liquidity and solvency management in the context of financial risk management and working capital components. The main accent is put on the foreign exchange risk management and the cash management tools on the group level: netting and cash pooling. These tools are supported by the cash forecasting system and the actual cash flows evaluation. The methods of liquidity and solvency management are demonstrated on the example of a Shared Service Center organisation.