Risk management for central bank foreign reserves / editors, Carlos Bernadell ... [and others].

Format:

Book

Contributor:

Bernadell, Carlos.

European Central Bank.

Language:

English

Subjects (All):

Bank reserves.

Risk management.

Banks and banking, Central.

Physical Description:

367 pages : illustrations ; 25 cm

Place of Publication:

Frankfurt am Main : European Central Bank, 2004.

Contents:

Part 1. General framework and strategies. Strategic asset allocation for foreign exchange reserves

Thoughts on investment guidelines for institutions with special liquidity and capital preservation requirements

A framework for strategic foreign reserves risk management

Asset allocation for central banks: optimally combining liquidity, duration, currency and non-government risk

Reaching for yield: selected issues for reserves managers

The risk of diversification

Currency reserve management by dual benchmark optimisation.

Part 2. Specifics of risk measurement and management. Risk systems in central bank reserves management

Corporate bonds in central bank reserves portfolios: a strategic asset allocation perspective

Setting counterparty credit limits for the reserves portfolio

Multi-factor risk analysis of bond portfolios

Managing market risks: a balance sheet approach

Ex post risk attribution in a value-at-risk framework

Ruin theory revisited: stochastic models for operational risks.

Part 3. Case studies. Risk management practices at the ECB

Management of currency distribution and duration

Foreign reserves risk management in Hong Kong

Performance attribution analysis: a homemade solution

Performance attribution for fixed income portfolios in Central Bank of Brazil international reserve management

Management of the international reserve liquidity portfolio

Determining neutral duration in the Bank of Israel's dollar portfolio.

Notes:

Includes bibliographical references.

ISBN:

9291814970

OCLC:

55758275