Interaction Between the VaR and the Interest Rate of Cash Flow

EasyChair Preprint 3790

Abstract

In this paper, we propose an approach to study the impact of the interest rate on the risk of variation in cash flows measured by the value at risk (VaR) using stochastic processes and ALM technics. This approach provides a decision-making tool for manage asset, liability funds to bankers insurers and all companies operating in the financial sector.

Keyphrases: ALM Technics, VAR, cash flow, interest rates, stochastic processes

@booklet{EasyChair:3790,
  author    = {Mostafa El Hachloufi and Driss Ezouine and Mohammed El Haddad},
  title     = {Interaction Between the VaR and the Interest Rate of Cash Flow},
  howpublished = {EasyChair Preprint 3790},
  year      = {EasyChair, 2020}}