Value-at-Risk Analysis for the Tunisian Currency Market: A Comparative Study
The main purpose of this paper is to compare empirically four Value-at-Risk simulation methods, namely, the Variance-Covariance, the Historical Simulation, the Bootstrapping and the Monte Carlo. We tried to estimate the VaR associated to three currencies and four currency portfolios in the Tunisian exchange market. Data covers the period between 01-01-1999 and 31-12-2007. Independently of the used technique, the Japanese Yen seems to be the most risky currency. Moreover, the portfolio diversification reduces the exchange rate risk. Lastly, the number of violations, when they exist, does not generally differ between the simulation methods. Recent evaluation tests were applied to select the most appropriate technique predicting precisely the exchange rate risk. Results based on these tests suggest that the traditional Variance-Covariance is the most appropriate method.
Volume (Year): 2 (2012)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.econjournals.com|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Robert F. Engle & Simone Manganelli, 2004.
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 22, pages 367-381, October.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Jose A. Lopez, 1997.
"Regulatory evaluation of value-at-risk models,"
9710, Federal Reserve Bank of New York.
- Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models," Staff Reports 33, Federal Reserve Bank of New York.
- Jose A. Lopez, 1996. "Regulatory Evaluation of Value-at-Risk Models," Center for Financial Institutions Working Papers 96-51, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Luiz Renato Lima & Breno Pinheiro NÃ©ri, 2006.
"Comparing Value-at-Risk Methodologies,"
Computing in Economics and Finance 2006
1, Society for Computational Economics.
- Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006. "Comparing value-at-risk methodologies," Economics Working Papers (Ensaios Economicos da EPGE) 629, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
- Margaret Woods & Kevin Dowd & Christopher Humphrey, 2008. "The value of risk reporting: a critical analysis of value-at-risk disclosures in the banking sector," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 3(1), pages 45-64.
- Don Bredin & Stuart Hyde, 2004.
"FOREX Risk: Measurement and Evaluation Using Value-at-Risk,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 31(9-10), pages 1389-1417.
- Bredin, Don & Hyde, Stuart, 2002. "Forex Risk: Measurement and Evaluation using Value-at-Risk," Research Technical Papers 6/RT/02, Central Bank of Ireland.
When requesting a correction, please mention this item's handle: RePEc:eco:journ1:2012-02-2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ilhan Ozturk)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.