Central bank reserves and sovereign wealth management
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: 9780230580893
Subjects: Banks and banking, Central -- Congresses; Bank reserves -- Congresses
Genres: Congresses
Description: "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"--Provided by publisher.
Notes: Includes bibliographical references and index.
Table of contents: title: Machine generated contents note: IntroductionPART I: RESERVES MANAGEMENTAsset-Liability Management for Central Bank's Balance SheetAnalysis of Sovereign Default RiskReserves Management at the Danish Central BankOptimal Central Bank and Sovereign Wealth Fund Asset Allocation and Reserve Choice: A Principle-Agent AnalysisPART II: OPTIMIZATION METHODSPortfolio Optimization with skewness and credit RiskUsing Economic Theory to Build Optimal PortfoliosGalerkin Methods in Dynamic Stochastic ProgrammingReplicating the Lehman Agg with Treasuries and MBSPART III: SOVEREIGN WEALTH MANAGEMENTStrategic TiltingOptimal Asset Allocation for Sovereign Wealth FundsIntergenerational Risk Transfer for Collective DB SchemesPART IV: ASSET MODELINGModeling Alternative InvestmentsEconomic Scenario ModelingModeling Public Equity ReturnsApplication of Affine Term Structure Models to Scenario GenerationNotesBibliographyIndex IntroductionPART I: RESERVES MANAGEMENTAsset-Liability Management for Central Bank's Balance SheetAnalysis of Sovereign Default RiskReserves Management at the Danish Central BankOptimal Central Bank and Sovereign Wealth Fund Asset Allocation and Reserve Choice: A Principle-Agent AnalysisPART II: OPTIMIZATION METHODSPortfolio Optimization with skewness and credit RiskUsing Economic Theory to Build Optimal PortfoliosGalerkin Methods in Dynamic Stochastic ProgrammingReplicating the Lehman Agg with Treasuries and MBSPART III: SOVEREIGN WEALTH MANAGEMENTStrategic TiltingOptimal Asset Allocation for Sovereign Wealth FundsIntergenerational Risk Transfer for Collective DB SchemesPART IV: ASSET MODELINGModeling Alternative InvestmentsEconomic Scenario ModelingModeling Public Equity ReturnsApplication of Affine Term Structure Models to Scenario GenerationNotesBibliographyIndex.