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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| Format: | Article |
| Language: | English |
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Economists' Association of Vojvodina
2012-01-01
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| Series: | Panoeconomicus |
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| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2012/1452-595X1201059O.pdf |