An analysis of exchange rate risk exposure related to the public debt portfolio of Tunisia: Beyond VaR approach

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 inte...

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Bibliographic Details
Main Author: Omrane Samia
Format: Article
Language:English
Published: Economists' Association of Vojvodina 2012-01-01
Series:Panoeconomicus
Subjects:
public debt management
exchange risk
value at risk
Tunisia
Online Access:http://www.doiserbia.nb.rs/img/doi/1452-595X/2012/1452-595X1201059O.pdf

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