Value-at-Risk Analysis for the Tunisian Currency Market: A comparative study

Authors

  • Aymen Ben Rejeb High Institute of Management of Sousse, University of Sousse
  • Ousama Ben Salha High Institute of Management of Sousse, University of Sousse
  • Jaleleddine Ben Rejeb High Institute of Management of Sousse, University of Sousse

Abstract

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. Keywords: Value-at-Risk; Tunisian currency market; Monte Carlo simulationJEL Classifications: C14; G32; F37

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Author Biographies

Aymen Ben Rejeb, High Institute of Management of Sousse, University of Sousse

Aymen BEN REJEB is a Ph.D student at the Department of Finance, at the High Institute of Management of Sousse, University of Sousse, Tunisia. His area of research includes emerging markets finance, volatility and risk management in international stock markets. The research for his Ph.D deals with the impact of financial liberalization and crises on emerging stock markets.

Ousama Ben Salha, High Institute of Management of Sousse, University of Sousse

Ousama Ben Salha is a Ph.D student at the Faculty of Economics and Management of Tunis and lecturer in economics at the High Institute of Management of Sousse, Tunisia. He is member of the research unit International Finance Group Tunisia since 2006. His research field includes international finance, financial stability and social aspects of economic globalization in developing countries.

Jaleleddine Ben Rejeb, High Institute of Management of Sousse, University of Sousse

Jaleleddine BEN REJEB is a Professor in Quantitative Methods, Director of the High Institute of Management of Sousse (Tunisia) and president of the research laboratory LAMIDED (Laboratory of Management of Innovation and Sustainable Development). He has published many research papers in refereed journals of national and international repute. He has also presented many research papers in various international conferences. His research interest includes analysis of poverty, unemployment, energy, multi-level analysis of educational results in primary school.

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Published

2012-01-12

How to Cite

Ben Rejeb, A., Ben Salha, O., & Ben Rejeb, J. (2012). Value-at-Risk Analysis for the Tunisian Currency Market: A comparative study. International Journal of Economics and Financial Issues, 2(2), 110–125. Retrieved from https://econjournals.com.tr/index.php/ijefi/article/view/126

Issue

Vol. 2 No. 2 (2012)

Section

Articles
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