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

2012 ◽  
Vol 59 (1) ◽  
pp. 59-87 ◽  
Author(s):  
Samia Omrane
Keyword(s):  
Exchange Rate ◽  
Public Debt ◽  
Value At Risk ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
The Public ◽  
Var Analysis ◽  
Rate Risk ◽  
Exchange Risk ◽  
Japanese Yen

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.

scholarly journals Exchange rate risk exposure and the value of European firms

2015 ◽  
Vol 23 (2) ◽  
pp. 111-129 ◽  
Author(s):  
Fabio Parlapiano ◽  
Vitali Alexeev ◽  
Mardi Dungey
Keyword(s):  
Exchange Rate ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
Rate Risk

scholarly journals Foreign Exchange Intervention Rules for Central Banks

2021 ◽  
Vol 21 (32) ◽  
Author(s):  
Romain Lafarguette ◽  
Romain Veyrune
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Value At Risk ◽  
Financial Stability ◽  
Market Failure ◽  
Exchange Rate Risk ◽  
Foreign Exchange Intervention ◽  
Rate Risk ◽  
Floating Exchange Rate ◽  
High Volatility

This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.

scholarly journals Hedging Transaction and Economic Exposure: A Solution for PT Pura Daya Prima

2009 ◽  
Vol 1 (2) ◽  
pp. 227-246
Author(s):  
Ita Puspitasari Mulyono ◽  
Michael Suhardianto ◽  
Raymundus Parulian Sihotang
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Mitigation Strategy ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
Financial Instruments ◽  
Financial Loss ◽  
Doing Business ◽  
Rate Risk ◽  
Hedging Policy

Many companies use more than one currency in doing business, which make them being exposed to exchange rate risk fluctuation. Accordingly, the Company’s financial manager needs to understand how to measure the risk exposure in order to determine when and how to protect the company from the risk. PT Pura Daya Prima (PDP) is one of that companies which has long been concerned on how to mitigate its economic and transaction exposure. The purpose of this project is to help the company mitigate its risk exposure and find the best hedging technique or other mitigation strategy to minimize their risk. The result of the project is to determine the most favorable hedging policy and the best way to implement the financial instruments or products available in the market or simulated. It is expected that PT Pura Daya Prima would be able to quickly execute hedging techniques in order to prevent financial loss due to foreign exchange exposure.

The Exchange-Rate Risk Exposure of Asset Returns

1997 ◽  
Vol 70 (1) ◽  
pp. 105 ◽  
Author(s):  
Edward H. Chow ◽  
Wayne Y. Lee ◽  
Michael E. Solt
Keyword(s):  
Exchange Rate ◽  
Asset Returns ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
Rate Risk ◽  
The Exchange Rate

Export, Exchange Rate Risk and Hedging: The Duopoly Case

2011 ◽  
Vol 12 (4) ◽  
pp. 490-502 ◽  
Author(s):  
Udo Broll ◽  
Jack E. Wahl ◽  
Christoph Wessel
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Risk Exposure ◽  
Exchange Rate Risk ◽  
Cournot Duopoly ◽  
Forward Market ◽  
Rate Risk

Abstract This paper studies a Cournot duopoly in international trade with firms exposed to exchange rate risk. A hedging opportunity is introduced by a forward market on which one firm can trade the foreign currency.We investigate two settings: First, we assume that hedging and output decisions are taken simultaneously. It is shown that hedging is exclusively done for risk-managing reasons as it is not possible to use hedging strategically. Second, the hedging decision is made before the output decisions. We show that hedging is not only used to manage the risk exposure but also as a strategic device.

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