Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
By: edited by Arjan Bastiaan Berkelaar, Joachim Coche, Ken Nyholm.
Contributors: Berkelaar, Arjan B.; Coche, Joachim, 1967-; Nyholm, Ken.
Publisher: Palgrave Macmillan
Published: 2010
Place of publication: New York
Language: eng
ISBN-13: 9780230240124
Subjects: Asset-liability management; Interest rates; Asset allocation; Banks and banking, Central -- Management; Financial institutions -- Investments
Description: "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"--Provided by publisher.
Notes: Includes bibliographical references and index.
Table of contents: title: Machine generated contents note: List of IllustrationsPrefaceIntroductionAbout the EditorsNotes on ContributorsPART I: INTEREST RATE MODELLING AND FORECASTINGCombining Canadian Interest Rate Forecasts; title: D.Bolder& Y.RomanyukUpdating the Yield Curve to Analysts Views; title: L.NogueiraA Spread Risk Model for Strategic Fixed Income Investors; title: F.Monar& K.NyholmDynamic Management of Interest Rate Risk Exposure; title: G.Petre& A.BerkelaarPART II: PORTFOLIO OPTIMISATION TECHNIQUESStrategic Asset Allocation with a Variable Investment Horizon; title: P.de Cacella, A.da Silva & I.MaiaHidden Risks in Mean Variance Optimization, J.Fernandes& J.OrnelasEfficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space; title: A.Reveiz& C.LeonCopulas and Risk Measures for Strategic Asset Allocation; title: C.Caillault &amp; title: S.MonierScenario Dependent Portfolio Optimization; title: R.GravaStrategic Tilting Around the SAA Benchmark; title: A.Drew, R.Frogley, T.Hayward& R.SethiOptimal Construction of a Fund of Funds; title: P.Hilli, M.Koivu& T.PennanenPART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUESMortgage Backed Securities in a Strategic Asset Allocation Framework; title: A.Kobor& M.BrennanComparing the Global Aggregate Index to a Blend of Global Treasuries and MBS; title: L.Dynkin, J.Hyman& B.PhelpsVolatility Exposure for Strategic Asset Allocation; title: Marie Brire, A.Burgues& O.SignoriA Frequency Domain Methodology for Time-Series Modeling; title: H.SteehouwerCombining Financial Data with Mixed Frequencies; T.Trovik& C.KaneStatistical Inference for Sharpes Ratio; title: F.Schmid & R.SchmidtAppendixNotesBibliographyIndex List of IllustrationsPrefaceIntroductionAbout the EditorsNotes on ContributorsPART I: INTEREST RATE MODELLING AND FORECASTINGCombining Canadian Interest Rate Forecasts; title: D.Bolder& Y.RomanyukUpdating the Yield Curve to Analysts Views; title: L.NogueiraA Spread Risk Model for Strategic Fixed Income Investors; title: F.Monar& K.NyholmDynamic Management of Interest Rate Risk Exposure; title: G.Petre& A.BerkelaarPART II: PORTFOLIO OPTIMISATION TECHNIQUESStrategic Asset Allocation with a Variable Investment Horizon; title: P.de Cacella, A.da Silva & I.MaiaHidden Risks in Mean Variance Optimization, J.Fernandes& J.OrnelasEfficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space; title: A.Reveiz& C.LeonCopulas and Risk Measures for Strategic Asset Allocation; title: C.Caillault &; title: S.MonierScenario Dependent Portfolio Optimization; title: R.GravaStrategic Tilting Around the SAA Benchmark; title: A.Drew, R.Frogley, T.Hayward& R.SethiOptimal Construction of a Fund of Funds; title: P.Hilli, M.Koivu& T.PennanenPART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUESMortgage Backed Securities in a Strategic Asset Allocation Framework; title: A.Kobor& M.BrennanComparing the Global Aggregate Index to a Blend of Global Treasuries and MBS; title: L.Dynkin, J.Hyman& B.PhelpsVolatility Exposure for Strategic Asset Allocation; title: Marie Brire, A.Burgues& O.SignoriA Frequency Domain Methodology for Time-Series Modeling; title: H.SteehouwerCombining Financial Data with Mixed Frequencies; T.Trovik& C.KaneStatistical Inference for Sharpes Ratio; title: F.Schmid & R.SchmidtAppendixNotesBibliographyIndex.