Central Bank Reserves and Sovereign Wealth Management

Hardcover | December 9, 2009

EditorA. Berkelaar, J. Coche, K. Nyholm

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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.

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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.

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.

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Format:HardcoverDimensions:450 pages, 8.5 × 5.51 × 0.05 inPublished:December 9, 2009Publisher:Palgrave Macmillan UKLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230580890

ISBN - 13:9780230580893

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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