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

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  • El Hachloufi Mostafa
  • Ezouine Driss
  • El Haddad Mohammed

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

Suggested Citation

  • El Hachloufi Mostafa & Ezouine Driss & El Haddad Mohammed, 2018. "Interaction between the VaR of cash flow and the interest rate using the ALM," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(1), pages 1-4.
    • Handle: RePEc:spt:stecon:v:7:y:2018:i:1:f:7_1_4
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    References listed on IDEAS

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    1. Blomvall, Jörgen, 2017. "Measurement of interest rates using a convex optimization model," European Journal of Operational Research, Elsevier, vol. 256(1), pages 308-316.
    2. Hao Chang, 2015. "Dynamic portfolio selection with liability and stochastic interest rates in the utility framework," International Journal of Industrial and Systems Engineering, Inderscience Enterprises Ltd, vol. 19(2), pages 169-189.
    3. Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.
    4. Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016. "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 240-254.
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