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Assessment Of The Exchange Rate Risk Exposure In Tunisia'S External Public Debt Portfolio: A Delta-Normal Var Approach In The Context Of Sustainable Finance Development

Author

Listed:
  • CHANNOUFI, Sabrine

    (University of Economics and Management Tunis El Manar, Tunisia.)

Abstract

This paper assesses the exchange rate risk exposure of Tunisia’s external public debt portfolio using the delta-normal Value at Risk (VaR) approach. Based on daily data from 2004 to 2019, focusing on the main borrowing currencies (the euro, US dollar, and Japanese yen), the study identifies the riskiest currencies and offers policy recommendations. The findings highlight significant exposure to the Japanese yen, while the US dollar appears to act as a hedge against currency volatility. The research underscores the importance of adjusting the portfolio structure based on currency risk profiles and Tunisia’s trade dynamics. This analysis contributes to the broader objective of sustainable public finance development by promoting more resilient and responsible debt management practices.

Suggested Citation

  • CHANNOUFI, Sabrine, 2025. "Assessment Of The Exchange Rate Risk Exposure In Tunisia'S External Public Debt Portfolio: A Delta-Normal Var Approach In The Context Of Sustainable Finance Development," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 29(3), pages 6-29, September.
    • Handle: RePEc:vls:finstu:v:29:y:2025:i:3:p:6-29
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    References listed on IDEAS

    as
    1. World Bank, 2007. "Managing Public Debt : From Diagnostics to Reform Implementation," World Bank Publications - Books, The World Bank Group, number 6658, April.
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    3. Farhan Akbar & Thierry Chauveau, 2009. "Exchange Rate Risk Exposure Related to Public Debt Portfolio of Pakistan: Application of Value-at-Risk Approaches," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00649101, HAL.
    4. Samia Omrane, 2012. "Une analyse de l’exposition au risque de change du portefeuille de la dette publique de la Tunisie: application de l’approche VaR," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(1), pages 59-87.
    5. Mohamed Bouabidi, 2023. "The surge in Tunisia foreign debt: causes and possible ways out," SN Business & Economics, Springer, vol. 3(3), pages 1-23, March.
    6. Miss Liliana B Schumacher & Mr. Mario I. Bléjer, 1998. "Central Bank Vulnerability and the Credibility of Commitments: A Value-at-Risk Approach to Currency Crises," IMF Working Papers 1998/065, International Monetary Fund.
    7. Fisera, Boris & Workie Tiruneh, Menbere & Hojdan, David, 2021. "Currency depreciations in emerging economies: A blessing or a curse for external debt management?," International Economics, Elsevier, vol. 168(C), pages 132-165.
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    Keywords

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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