Synopses & Reviews
This book comprises the papers presented and discussed at the SAA conference, held 24-25 November 2008. It offers an exchange of views on technical and implemental issues of financial models relevant for strategic asset allocation.
Synopsis
This is an edited collection of essential readings on Reserves Management and Sovereign Wealth Management, from the recent SAA conference organized by the Bank for International Settlements, the European Central Bank and the World Bank Treasury. It offers an exchange of views on technical and implemental issues of financial models.
Synopsis
List of Illustrations Preface Introduction About the Editors Notes on Contributors Dinner Speech: Asset Allocation in a General Equilibrium Framework; B.Litterman PART I: CENTRAL BANK RESERVES MANAGEMENT Global Reserves Management; K.Rybinski & U.Krynska Conceptual Issues in Central Bank Strategic Asset Allocation; A.Joia & J.Coche Strategic Asset Allocation: Balancing Short-Term Liquidity Needs and Real Capital Preservation; J.Bonza, N.Gomez & R.Pabon Asset Liability Management for Central Banks; U.Kisoen Combating Intervention Risks; S.Fisher Reserves Adequacy and Diversification; V.Sahakyan & J.Coche PART II: SOVEREIGN WEALTH MANAGEMENT Asset Allocation and Portfolio Construction for Sovereign Wealth Managers; F.Weinberger, B.Lee & D.Rogal A Note on Portfolio Choice for Sovereign Wealth Funds; B.Scherer Portfolio Choice for Oil Based Sovereign Wealth Funds; B.Scherer Strategic Investment and Risk Management for Sovereign Wealth Funds; S.Claessens & J.Kreuser Optimal Scale and Asset Allocation for SWF: China's Case; Y.Zhang, X.Wei& Y.Hou The Impact of Sovereign Wealth Funds on Global Financial Markets; M.Fidora & R.Beck Public Investment Funds and Value-Based Generational Accounting; R.Molenaar, R.Hoevenaars & E.Ponds Notes Bibliography Appendix Index
About the Author
KEN NYHOLM is a Senior Economist for the European Central Bank, Germany. BASTIAAN BERKELAAR works for the World Bank. JOACHIM COCHE works for the Bank for International Settlements.
Table of Contents
Introduction
PART I: RESERVES MANAGEMENT
Asset-Liability Management for Central Bank's Balance Sheet
Analysis of Sovereign Default Risk
Reserves Management at the Danish Central Bank
Optimal Central Bank and Sovereign Wealth Fund Asset Allocation and Reserve Choice: A Principle-Agent Analysis
PART II: OPTIMIZATION METHODS
Portfolio Optimization with skewness and credit Risk
Using Economic Theory to Build Optimal Portfolios
Galerkin Methods in Dynamic Stochastic Programming
Replicating the Lehman Agg with Treasuries and MBS
PART III: SOVEREIGN WEALTH MANAGEMENT
Strategic Tilting
Optimal Asset Allocation for Sovereign Wealth Funds
Intergenerational Risk Transfer for Collective DB Schemes
PART IV: ASSET MODELING
Modeling Alternative Investments
Economic Scenario Modeling
Modeling Public Equity Returns
Application of Affine Term Structure Models to Scenario Generation
Notes
Bibliography
Index