Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds

ISBN-13: 9780230273535 / Angielski / Twarda / 2010 / 266 str.

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Opis

This book contains original readings on Reserves Management for central banks and sovereign wealth funds. It aims to outline best practice in respect of strategic asset allocation, facilitating knowledge-sharing across organizations and encouraging collaboration and dialogue between reserves and asset management specialists in the organizations.

Spis treści

Asset-Liability Management for Central Banks: an Overview; Y.Romanyuk Dynamic Behavioural Approach to Strategic Asset Allocation; J.L.Barros Fernandes & P.M.Fonseca de Cacella Dynamic Strategic Asset Allocation: Conditional Expected Returns and Parametric Portfolio Optimization; C.Jeffery, K.Somefun & E.van den Heiligenberg Inflation Hedging for Long-Term Investors; A.P.Attie & S.K.Roache Active Portfolio Management of Currency Baskets; A.Reveiz The Black-Litterman Model in Central Banking Practice; T.Petrovi? Liquidity, Risk Management, and the Credit Crisis of 2007 - 2009; B.W.Golub & C.C.Crum Alternative Investments in SWF and Central Bank Portfolios; S.Jain & K.Acuña Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes; L.Lam, L.Fung & I.Yu A Performance Attribution Methodology for Fixed Income Portfolios; J.R.Ornelas, P.J.Campos de Carvalho, A.F.de A da Silva Junior & I.Ribeiro Damaso Maia A Sovereign Asset-Liability Framework with Multiple Risk Factors for External Reserves Management - Reserve Bank of India; H.Bhattacharya, J.Kreuser & S.Sivakumar The Zeus Project: A Financial Tool for Public Investors; I.Ribeiro Damaso Maia & P.Fonseca de Cacella

O autorze

JOACHIM COCHE is Senior Asset Management Specialist at the Bank for International Settlements in Basle, Switzerland. He has previously worked at the World Bank Treasury, and was Senior Economist at the European Central Bank. His research interests include asset management, asset and liability modelling and central bank reserves management.

KEN NYHOLM is Senior Economist at the European Central Bank, Germany. His work focuses on the implementation of financial and quantitative techniques in the area of fixed-income strategic asset allocation for the Bank's domestic and foreign currency portfolios. He has published numerous articles on yield curve modelling and financial market microstructure.

GABRIEL PETRE is Senior Investment Strategist at the World Bank, USA, responsible for developing asset allocation strategies for the Bank's retirement funds. He previously worked as part of a team managing the foreign reserves portfolio of the National Bank of Romania.