Active portfolio strategies to manage exchange rate risk exposure related to external debt portfolio of pakistan

Farhan Akbar (), Irfan Akbar Kazi and Thierry Chauveau ()
Additional contact information
Farhan Akbar: Paris I Sorbonne University
Thierry Chauveau: UMR 8174 - CES - Centre d'économie de la Sorbonne, Pantheon Sorbonne - Paris University 1

Economics Bulletin, 2012, vol. 32, issue 1, A8

Abstract: The aim of this study is to assess and analyze exchange rate risk related to three currencies i.e. Euro, American Dollar and Japanese yen on External Debt Portfolio of Pakistan (EDPP) through different Value-at-risk (VAR) methodologies from year 2001 to 2006. We apply and compare different VAR methods obtained through GARCH(1,1), Gaussian Multivariate GARCH, PCA Garch, Gaussian Constant Conditional Correlation (CCC), DCC with Exponential Smoothing , GARCH-DCC, Historical Simulation, Weighted Historical Simulation and Filtered Historical Simulation models to estimate the risk EDPP could have suffered due to fluctuations in the exchange rates of three currencies over a one day horizon with 99% confidence level. Unlike much of the literature, this paper focuses the testing of multivariate approach on the out-of-sample time period.

Keywords: Exchange rate risk; External Debt; Value at Risk (search for similar items in EconPapers)
JEL-codes: C0 C5 (search for similar items in EconPapers)
Date: 2012-01-30
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2012/Volume32/EB-12-V32-I1-A8.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-12-00105

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().