Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
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Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds


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About the Book

This book is an edited collection of some of the papers from the November 2008 conference on Strategic Asset Allocation for Central Banks and Sovereign Wealth Managers, held jointly by the Bank for International Settlements, The European Central Bank and the World Bank. It presents practical and easily implementable, state-of-the-art methods and techniques for strategic asset allocation in public organisations, not only in central banking but also in the wider financial sector. Collectively, these papers present the current 'industry standard' and outline 'best practices' in the areas of: interest rate management and forecasting; public investor portfolio optimization methods; asset class modeling and quantitative techniques. The book closes the gap in the finance literature on how to implement and support long-term investment decisions. It belongs on the shelf of every financial analyst and modeller working in public wealth-management.

Table of Contents:
List of Illustrations Preface Introduction About the Editors Notes on Contributors PART I: INTEREST RATE MODELLING AND FORECASTING Combining Canadian Interest Rate Forecasts; D.Bolder& Y.Romanyuk Updating the Yield Curve to Analysts' Views; L.Nogueira A Spread Risk Model for Strategic Fixed Income Investors; F.Monar& K.Nyholm Dynamic Management of Interest Rate Risk Exposure; G.Petre& A.Berkelaar PART II: PORTFOLIO OPTIMISATION TECHNIQUES Strategic Asset Allocation with a Variable Investment Horizon; P.de Cacella, A.da Silva & I.Maia Hidden Risks in Mean Variance Optimization, J.Fernandes& J.Ornelas Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space; A.Reveiz& C.Leon Copulas and Risk Measures for Strategic Asset Allocation; C.Caillault& S.Monier Scenario Dependent Portfolio Optimization; R.Grava Strategic Tilting Around the SAA Benchmark; A.Drew, R.Frogley, T.Hayward& R.Sethi Optimal Construction of a Fund of Funds; P.Hilli, M.Koivu& T.Pennanen PART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUES Mortgage Backed Securities in a Strategic Asset Allocation Framework; A.Kobor& M.Brennan Comparing the Global Aggregate Index to a Blend of Global Treasuries and MBS; L.Dynkin, J.Hyman& B.Phelps Volatility Exposure for Strategic Asset Allocation; Marie Briere, A.Burgues& O.Signori A Frequency Domain Methodology for Time-Series Modeling; H.Steehouwer Combining Financial Data with Mixed Frequencies; T.Trovik& C.Kane Statistical Inference for Sharpe's Ratio; F.Schmid & R.Schmidt Appendix Notes Bibliography Index

About the Author :
ARJAN B. BERKELAAR is Head of Risk Management at Kaust Investment Management Company (KIMC) US. Prior to joining KIMC, he worked as Principal Investment Officer at the World Bank Treasury where he was responsible for developing investment strategies and advising internal and external clients on asset allocation and related policy matters. JOACHIM COCHE works as Senior Asset Management Specialist at the Bank for International Settlements (BIS) in Basle, Switzerland, where he advises central bank clients in the management of foreign exchange reserves. Prior to joining the BIS, he worked at the World Bank Treasury where he focused on the development of asset allocation strategies for the Bank's fixed income portfolios. KEN NYHOLM works in the Risk Management Division of the European Central Bank, focusing on the practical implementation of financial and quantitative techniques in the area of fixed-income strategic asset allocation for the bank's domestic and foreign currency portfolios, as well as asset and liability management for pensions.


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Product Details
  • ISBN-13: 9780230251298
  • Publisher: Palgrave MacMillan
  • Binding: Digital (delivered electronically)
  • ISBN-10: 0230251293
  • Publisher Date: 30 Nov 2009
  • Language: English


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Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
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