The Implementation of the Value at Risk in the Tunisian Foreign

LES JEUDI D’ECONOMIE & DE FINANCE (JEF)
Université
Université
Université
de Carthage
Tunis El Manar
de Tunis
(IHEC)
(FSEG)
(ISG)
L.E.F.A
La.R.E.Qua.D
I.F.G.T
U.A.Qu.Ap
Laboratoire
d'Economie
& Finance
Appliquée
Laboratoire de
Recherche en
Econonomie
Quantitative du
Développement
International
Financial
Group
Tunisia
Unité
d'Analyse
Quantitative
Appliquée
ORGANISENT UN SEMINAIRE DE RECHERCHE N°12/03
The Implementation of the Value at Risk
in the Tunisian Foreign Exchange Market
Nidhal Misbahi
(LEFA, ISCCB, University of Carthage)
Jeudi 15 mars 2012 à 14h30 à la salle des Thèses (FSEGT-Campus)
Abstract: The
objective of this study was the development and implementation of the Value at Risk in the Tunisian
foreign exchange market, using various approaches (Parametric approaches, Monte Carlo simulation, Historical
simulation, copulas methods) for the univariate and the bivariate analysis (the spot FX rates USD/TND and EUR/TND).
We evaluated them using the recent mathematical, econometric and numerical extensions that can be applied to
Tunisian’s FX characteristics. Advantages and disadvantages of each method are confirmed based on both literature
review and empirical study. The efficacy of the methods was tested and compared using the backtesting methods. The
results confirmed that these recent extensions showed adequacy for the Tunisian FX market in the estimation of the
VaR. Indeed, we demonstrated for the parametric models, that the asymmetric Garch models confirmed efficiency, using
Generalized Error Distribution (GED). Then, for the Monte Carlo simulation, we proved that the Quasi Monte Carlo have
better estimations, with less numbers of iterations, than the crude method. In addition, the historical simulation
demonstrated that the bootstrapping methods with replacement (or without replacement) could enhance the results, and
finally the Nelson 12 and 13 produced more acceptable results than the other Archimedean Copulas. Finally, we expect
that this study will provide more clarifications for different members of the Tunisian FX market to estimate the VaR in the
context of managed flexible exchange regime.
Responsables du Séminaire : Med Safouane Ben Aïssa ([email protected]),
Med Ayadi ([email protected]), Med Goaïed ([email protected]) & Chaker Aloui ([email protected])
Avec le concours des Economètres Tunisiens
pour l’organisation logistique