Assessing Foreign Exchange Risk Associated to a Public Debt Portfolio in Ghana Using the Value at Risk Technique
International Journal of Economics, Finance and Management Sciences
Volume 2, Issue 2, April 2014, Pages: 159-163
Received: Jan. 30, 2014;
Published: Mar. 30, 2014
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Alice Constance Mensah, Mathematics and Statistics Department, Accra Polytechnic, Accra, Ghana
Ebenezer Okyere, Research Department, Bank of Ghana, Accra, Ghana
Osei Antwi, Mathematics and Statistics Department, Accra Polytechnic, Accra, Ghana
Prince Kumi, Accountancy Department, Accra Polytechnic, Accra, Ghana
Joseph Dadzie, Mathematics and Statistics Department, Accra Polytechnic, Accra, Ghana
Martin Owusu Amoamah, Mathematics and Statistics Department, Accra Polytechnic, Accra, Ghana
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VaR is a potential loss. The VaR methodology gives the definition to risk-based capital, or economic capital and confidence level reflects the risk appetite of the bank. This work is a delta-normal VaR application in the case of the Ghanaian economy. It assesses the exchange risk associated to the Ghana public debt portfolio. We used daily spot exchange rates of the Ghana cedi against the three main currencies, the dollar, the euro and the pound. We are interested in the period from 04/01/2000 to 31/12/2009. We demonstrated that the VaR result is very high and that there is a need for the government to also trade in a currency that can serve as a potential hedge against risk.
Value- at- Risk, Public Debt Portfolio, Volatility
To cite this article
Alice Constance Mensah,
Martin Owusu Amoamah,
Assessing Foreign Exchange Risk Associated to a Public Debt Portfolio in Ghana Using the Value at Risk Technique, International Journal of Economics, Finance and Management Sciences.
Vol. 2, No. 2,
2014, pp. 159-163.
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