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

Hardcover | January 15, 2010

EditorArjan Bastiaan Berkelaar, Joachim Coche, Ken Nyholm

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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.

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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 BASTIAAN BERKELAAR is principal investment officer and heads multi-asset class investment strategies at the World Bank Treasury. He is responsible for developing investment strategies and advising the various internal and external clients of the World Bank Treasury on asset allocation and related policy matters. JOACHIM COCHE wo...
Format:HardcoverDimensions:432 pages, 11.25 × 5.65 × 1.15 inPublished:January 15, 2010Publisher: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 Brire, 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 Sharpes Ratio--F.Schmid & R.Schmidt
Appendix
Notes
Bibliography
Index