Journal of Statistical and Econometric Methods

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

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  • 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: 97K60
    Keywords: Interest rates; VaR; cash flow; ALM Technics; Stochastic Processes