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

Overview

This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.

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Overview

This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.

Read More Show Less

Product Details

  • ISBN-13: 9780230240124
  • Publisher: Palgrave Macmillan
  • Publication date: 1/5/2010
  • Pages: 432
  • Product dimensions: 5.60 (w) x 8.60 (h) x 1.10 (d)

Meet the Author

ARJAN BASTIAAN BERKELAAR is principal investment officer and heads multi-asset class investment strategies at the World Bank Treasury. He is responsible for developing investment strategies and advising the various internal and external clients of the World Bank Treasury 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 banks domestic and foreign currency portfolios, as well as asset and liability management for pensions.

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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 Brire, 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 Sharpes Ratio—F.Schmid & R.Schmidt
Appendix
Notes
Bibliography
Index

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