Interaction Between the VaR of Cash Flow and the Interest Rate Using the ALM

  • Mostafa El Hachloufi
  • Driss Ezouine
  • Mohammed El Haddad
Conference paper
Part of the Lecture Notes in Networks and Systems book series (LNNS, volume 37)


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.


Interest rates VaR Cash flow ALM technics Stochastic processes 


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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  1. 1.Department of Management-Faculty of Juridical, Economical and Social SciencesUniversity of Mohamed VRabatMorocco

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