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Palgrave Macmillan

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

  • Book
  • © 2010

Overview

Editors:
  1. Arjan B. Berkelaar

    1. Kaust Investment Management Company, USA

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    You can also search for this editor in PubMed   Google Scholar

  2. Joachim Coche

    1. Bank for International Settlements (BIS) in Basle, Switzerland

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    You can also search for this editor in PubMed   Google Scholar

  3. Ken Nyholm

    1. Risk Management Division of the European Central Bank, Germany

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Table of contents (17 chapters)

  1. Front Matter

    Pages i-xl
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  2. Interest Rate Modelling and Forecasting

    1. Front Matter

      Pages 1-1
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    2. Combining Canadian Interest Rate Forecasts

      • David Jamieson Bolder, Yuliya Romanyuk
      Pages 3-30

    3. Updating the Yield Curve to Analyst’s Views

      • Leonardo M. Nogueira
      Pages 31-43

    4. A Spread-Risk Model for Strategic Fixed-Income Investors

      • Fernando Monar Lora, Ken Nyholm
      Pages 44-63

    5. Dynamic Management of Interest Rate Risk for Central Banks and Pension Funds

      • Arjan B. Berkelaar, Gabriel Petre
      Pages 64-89

  3. Portfolio Optimization Techniques

    1. Front Matter

      Pages 91-91
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    2. A Strategic Asset Allocation Methodology Using Variable Time Horizon

      • Paulo Maurício F. de Cacella, Isabela Ribeiro Damaso, Antônio Francisco da Silva Jr
      Pages 93-111

    3. Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal

      • José Luiz Barros Fernandes, José Renato Haas Ornelas
      Pages 112-133

    4. Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

      • Alejandro Reveiz, Carlos León
      Pages 134-157

    5. Copulas and Risk Measures for Strategic Asset Allocation: A Case Study for Central Banks and Sovereign Wealth Funds

      • Cyril Caillault, Stéphane Monier
      Pages 158-177

    6. Practical Scenario-Dependent Portfolio Optimization: A Framework to Combine Investor Views and Quantitative Discipline into Acceptable Portfolio Decisions

      • Roberts L. Grava
      Pages 178-188

    7. Strategic Tilting around the SAA Benchmark

      • Aaron Drew, Richard Frogley, Tore Hayward, Rishab Sethi
      Pages 189-206

    8. Optimal Construction of a Fund of Funds

      • Petri Hilli, Matti Koivu, Teemu Pennanen
      Pages 207-221

  4. Asset Class Modelling and Quantitative Techniques

    1. Front Matter

      Pages 223-223
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    2. Mortgage-Backed Securities in a Strategic Asset Allocation Framework

      • Myles Brennan, Adam Kobor
      Pages 225-248

    3. Quantitative Portfolio Strategy — Including US MBS in Global Treasury Portfolios

      • Lev Dynkin, Jay Hyman, Bruce Phelps
      Pages 249-264

    4. Volatility as an Asset Class for Long-Term Investors

      • Marie Brière, Alexander Burgues, Ombretta Signori
      Pages 265-279

    5. A Frequency Domain Methodology for Time Series Modelling

      • Hens Steehouwer
      Pages 280-324

    6. Estimating Mixed Frequency Data: Stochastic Interpolation with Preserved Covariance Structure

      • Tørres G. Trovik, Couro Kane-Janus
      Pages 325-336
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Keywords

About this book

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.

Editors and Affiliations

  • Kaust Investment Management Company, USA

    Arjan B. Berkelaar

  • Bank for International Settlements (BIS) in Basle, Switzerland

    Joachim Coche

  • Risk Management Division of the European Central Bank, Germany

    Ken Nyholm

About the editors

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.

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