This edited volume comprises some of the papers (those on the themes of
reserves management and sovereign wealth fund management) which were presented at the
November 2008 conference on Strategic Asset Allocation for Central Banks and Sovereign
Wealth Managers, held jointly by the Bank for International Settlements, the European
Central Bank and the World Bank.
The contributions herein present state-of-the-art techniques for the
implementation of strategic asset allocation approaches in public organizations.
They are, however, not only limited to the traditional central banking world but
have a much greater coverage and reach, exemplified by the contributions from leading
institutions in the financial sector. Collectively, these papers present a first
attempt to formulate an industry standard for methods and techniques relevant for public
investors working in the areas of reserves management and asset modelling. Concrete
and directly useful, this book belongs on the shelf of every financial analyst and
modeller working in the public wealth-management arena.
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 pe
Table of Contents
List of Illustrations
Preface
Introduction
About the Editors
Notes on Contributors
Dinner Speech: Asset Allocation in a General Equilibrium Framework;
B.Litterman
PART I: CENTRAL BANK RESERVES MANAGEMENT
Global Reserves Management; K.Rybinski & U.Krynska
Conceptual Issues in Central Bank Strategic Asset Allocation;
A.Joia & J.Coche
Strategic Asset Allocation: Balancing Short-Term Liquidity Needs and Real Capital
Preservation; J.Bonza, N.Gomez & R.Pabon
Asset Liability Management for Central Banks; U.Kisoen
Combating Intervention Risks; S.Fisher
Reserves Adequacy and Diversification; V.Sahakyan & J.Coche
PART II: SOVEREIGN WEALTH MANAGEMENT
Asset Allocation and Portfolio Construction for Sovereign Wealth Managers;
F.Weinberger, B.Lee & D.Rogal
A Note on Portfolio Choice for Sovereign Wealth Funds; B.Scherer
Portfolio Choice for Oil Based Sovereign Wealth Funds; B.Scherer
Strategic Investment and Risk Management for Sovereign Wealth Funds;
S.Claessens & J.Kreuser
Optimal Scale and Asset Allocation for SWF: China's Case; Y.Zhang,
X.Wei& Y.Hou
The Impact of Sovereign Wealth Funds on Global Financial Markets;
M.Fidora & R.Beck
Public Investment Funds and Value-Based Generational Accounting;
R.Molenaar, R.Hoevenaars & E.Ponds
Notes
Bibliography
Appendix
Index
416 pages, Hardcover
