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Interaction Between the VaR and the Interest Rate of Cash Flow

EasyChair Preprint no. 3790

4 pagesDate: July 8, 2020

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, cash flow, interest rates, stochastic processes, VAR

BibTeX entry
BibTeX does not have the right entry for preprints. This is a hack for producing the correct reference:
@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 no. 3790},

  year = {EasyChair, 2020}}
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