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.
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El Hachloufi, M., Ezouine, D., El Haddad, M. (2018). Interaction Between the VaR of Cash Flow and the Interest Rate Using the ALM. In: Ben Ahmed, M., Boudhir, A. (eds) Innovations in Smart Cities and Applications. SCAMS 2017. Lecture Notes in Networks and Systems, vol 37. Springer, Cham. https://doi.org/10.1007/978-3-319-74500-8_81
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DOI: https://doi.org/10.1007/978-3-319-74500-8_81
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-74499-5
Online ISBN: 978-3-319-74500-8
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