Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds by A. BerkelaarInterest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds by A. Berkelaar

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

byA. BerkelaarEditorJ. Coche, K. Nyholm

Hardcover | November 30, 2009

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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.
ARJAN B. BERKELAAR is Head of Risk Management at Kaust Investment Management Company (KIMC) US. Prior to joining KIMC, heworked as Principal Investment Officer at the World Bank Treasury where he was responsible for developing investment strategiesand advising internal and external clients on asset allocation and related policy matters...
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Title:Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign…Format:HardcoverDimensions:366 pages, 8.5 × 5.51 × 1.15 inPublished:November 30, 2009Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230240127

ISBN - 13:9780230240124

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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 Brière, 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 Sharpe's Ratio; F.Schmid & R.Schmidt Appendix Notes Bibliography Index