Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
Erschienen am 30. November 2009
Buch
Softcover
XXXIX, 366 Seiten
978-1-349-31641-0 (ISBN)
Beschreibung
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.
Weitere Details
Auflage
1st ed. 2010
Sprache
Englisch
Verlagsort
London
Großbritannien
Zielgruppe
Für Beruf und Forschung
Illustrationen
48 s/w Abbildungen
XXXIX, 366 p. 48 illus.
Maße
Höhe: 216 mm
Breite: 140 mm
Dicke: 23 mm
Gewicht
511 gr
ISBN-13
978-1-349-31641-0 (9781349316410)
DOI
10.1057/9780230251298
Schweitzer Klassifikation
Weitere Ausgaben
Andere Ausgaben
A. Berkelaar | J. Coche | K. Nyholm
Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
Buch
11/2009
Palgrave Macmillan
106,99 €
Versand in 15-20 Tagen
Personen
ARJAN B. BERKELAAR is Head of Risk Management at Kaust Investment Management Company (KIMC) US. Prior to joining KIMC, he
worked as Principal Investment Officer at the World Bank Treasury where he was responsible for developing investment strategies
and advising internal and external clients on asset allocation and related policy matters.
JOACHIM COCHE works as Senior Asset Management Specialist at the Bank for International Settlements (BIS) in Basle, Switzerland, where he advises central bank clients in the management of foreign exchange reserves. Prior to joining the BIS, he worked at the World Bank Treasury where he focused on the development of asset allocation strategies for the Bank's fixed income portfolios.
KEN NYHOLM works in the Risk Management Division of the European Central Bank, focusing on the practical implementation of financial and quantitative techniques in the area of fixed-income strategic asset allocation for the bank's domestic and foreign currency portfolios, as well as asset and liability management for pensions.
worked as Principal Investment Officer at the World Bank Treasury where he was responsible for developing investment strategies
and advising internal and external clients on asset allocation and related policy matters.
JOACHIM COCHE works as Senior Asset Management Specialist at the Bank for International Settlements (BIS) in Basle, Switzerland, where he advises central bank clients in the management of foreign exchange reserves. Prior to joining the BIS, he worked at the World Bank Treasury where he focused on the development of asset allocation strategies for the Bank's fixed income portfolios.
KEN NYHOLM works in the Risk Management Division of the European Central Bank, focusing on the practical implementation of financial and quantitative techniques in the area of fixed-income strategic asset allocation for the bank's domestic and foreign currency portfolios, as well as asset and liability management for pensions.
Inhalt
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