ASSESSMENT OF THE EXCHANGE RATE RISK EXPOSURE IN TUNISIA'S EXTERNAL PUBLIC DEBT PORTFOLIO: A DELTA-NORMAL VAR APPROACH IN THE CONTEXT OF SUSTAINABLE FINANCE DEVELOPMENT

Sabrine Channoufi
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Sabrine Channoufi: University of Economics and Management Tunis El Manar, Tunisia.

Studii Financiare (Financial Studies), 2025, vol. 29, issue 3, 6-29

Abstract: This paper assesses the exchange rate risk exposure of Tunisia’s external public debt portfolio using the delta-normal Value at Risk (VaR) approach. Based on daily data from 2004 to 2019, focusing on the main borrowing currencies (the euro, US dollar, and Japanese yen), the study identifies the riskiest currencies and offers policy recommendations. The findings highlight significant exposure to the Japanese yen, while the US dollar appears to act as a hedge against currency volatility. The research underscores the importance of adjusting the portfolio structure based on currency risk profiles and Tunisia’s trade dynamics. This analysis contributes to the broader objective of sustainable public finance development by promoting more resilient and responsible debt management practices.

Keywords: debt management; currency risk; financial stability; portfolio optimisation (search for similar items in EconPapers)
JEL-codes: C53 F31 F34 (search for similar items in EconPapers)
Date: 2025
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