An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach
The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appears as a source of risk for the Tunisian external debt but remains less risky than the yen, while, the euro constitutes a hedge currency for exchange risk management associated with the Tunisian public debt portfolio
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.:
- Wu, Ping-Tsung & Shieh, Shwu-Jane, 2007. "Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 248-259, March.
- Mazin A.M. Al Janabi, 2006. "Foreign-exchange trading risk management with value at risk: Case analysis of the Moroccan market," Journal of Risk Finance, Emerald Group Publishing, vol. 7(3), pages 273-291, May.
- Laura Alfaro & Fabio Kanczuk, 2009.
"Debt Maturity: Is Long-Term Debt Optimal?,"
Review of International Economics,
Wiley Blackwell, vol. 17(5), pages 890-905, November.
- Laura Alfaro & Fabio Kanczuk, 2007. "Debt Maturity: Is Long-Term Debt Optimal?," NBER Working Papers 13119, National Bureau of Economic Research, Inc.
- Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
- Fatma Marrakchi Charfi, 2009. "Euro / dollar : quelle stratégie de change pour la Tunisie ?," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(1), pages 85-114.
- Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
- Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers.
- Michael G. Papaioannou, 2009. "Exchange Rate Risk Measurement and Management: Issues and Approaches for Public Debt Managers," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 7(1), pages 7-34.
- Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Huisman, R. & Koedijik, K.G. & Pownall, R.A.J., 1998. "VaR-x: Fat Tails in Financial Risk Management," Papers 98-54, Southern California - School of Business Administration.
- Tan, Kok-Hui & Chan, Inn-Leng, 2003. "Stress testing using VaR approach--a case for Asian currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 39-55, February.
- Wissem Ajili, 2008. "A Value-At-Risk Approach To Assess Exchange Risk Associated To A Public Debt Portfolio: The Case Of A Small Developing Economy," World Scientific Book Chapters,in: Risk Management And Value Valuation and Asset Pricing, chapter 2, pages 11-60 World Scientific Publishing Co. Pte. Ltd..
- Udaibir S Das & Jay Surti & Faisal Ahmed & Michael G Papaioannou & Guilherme Pedras, 2010. "Managing Public Debt and Its Financial Stability Implications," IMF Working Papers 10/280, International Monetary Fund.
- Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:voj:journl:v:59:y:2012:i:1:p:59-87. 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: (Ivana Horvat)
If references are entirely missing, you can add them using this form.