Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds comprises the first set of papers that were presented at the Joint BIS/ECB/World Bank conference held in Washington DC on 16-17 November 2009. It presents state-of-the-art techniques on the implementation of strategic asset allocation approaches in public organizations. The relevance, however, is not limited to the traditional Central Banking investment sector. In fact, the greater coverage and reach is exemplified by the contributions from leading institutions in the financial sector. The book is a natural continuation of the conference proceedings published after the 2008 conference, and again strives to contribute to the articulation of industry standards with regards to methods and techniques relevant for public investors working in the areas of Reserves Management and Asset Modeling. Concrete and practical, this book belongs on the shelf of every financial analyst and modeler working in public wealth-management.
Asset-Liability Management for Central Banks: an Overview; Y.Romanyuk Dynamic Behavioural Approach to Strategic Asset Allocation; J.L.Barros Fernandes & P.M.Fonseca de Cacella Dynamic Strategic Asset Allocation: Conditional Expected Returns and Parametric Portfolio Optimization; C.Jeffery, K.Somefun & E.van den Heiligenberg Inflation Hedging for Long-Term Investors; A.P.Attie & S.K.Roache Active Portfolio Management of Currency Baskets; A.Reveiz The Black-Litterman Model in Central Banking Practice; T.PetroviAa Liquidity, Risk Management, and the Credit Crisis of 2007 - 2009; B.W.Golub & C.C.Crum Alternative Investments in SWF and Central Bank Portfolios; S.Jain & K.Acuna Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes; L.Lam, L.Fung & I.Yu A Performance Attribution Methodology for Fixed Income Portfolios; J.R.Ornelas, P.J.Campos de Carvalho, A.F.de A da Silva Junior & I.Ribeiro Damaso Maia A Sovereign Asset-Liability Framework with Multiple Risk Factors for External Reserves Management - Reserve Bank of India; H.Bhattacharya, J.Kreuser & S.Sivakumar The Zeus Project: A Financial Tool for Public Investors; I.Ribeiro Damaso Maia & P.Fonseca de Cacella