Interaction between the VaR of cash flow and the interest rate using the ALM

El Hachloufi Mostafa, Ezouine Driss and El Haddad Mohammed

Journal of Statistical and Econometric Methods, 2018, vol. 7, issue 1, 4

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.Mathematics Subject Classification: 97K60Keywords: Interest rates; VaR; cash flow; ALM Technics; Stochastic Processes

Date: 2018
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