Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds / edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm.

Format:

Book

Contributor:

Berkelaar, Arjan B.

Coche, Joachim, 1967-

Nyholm, Ken.

Language:

English

Subjects (All):

Asset-liability management.

Interest rates.

Asset allocation.

Banks and banking, Central--Management.

Banks and banking, Central.

Financial institutions--Investments.

Financial institutions.

Physical Description:

xxxix, 366 pages : illustrations ; 23 cm

Place of Publication:

Basingstoke, UK ; New York : Palgrave Macmillan, 2010.

Summary:

"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"--Provided by publisher.

Contents:

Combining Canadian interest rate forecasts / David Jamieson Bolder and Yuliya Romanyuk

Updating the yield curve to analyst's views / Leonardo M. Nogueira

A spread-risk model for strategic fixed-income investors / Fernando Monar Lora and Ken Nyholm

Dynamic management of interest rate risk for central banks and pension funds / Arjan B. Berkelaar and Gabriel Petre

A strategic asset allocation methodology using variable time horzon / Paulo Maurício F. de Cacella, Isabela Ribeiro Damaso and Antônio Francisco da Silva, Jr.

Hidden risks in mean-variance optimization : an integrated-risk asset allocation proposal / José Luiz Barros Fernandes and José Renato Haas Ornelas

Efficient portfolio optimization in the wealth creation and maximum drawdown space / Alejandro Reveiz and Carlos León

Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds / Cyril Caillault and Stéphane Monier

Practical scenario-dependent portfolio optimization : a framework to combine investor views and quantitative discipline into acceptable portfolio decisions / Roberts L. Grava

Strategic tilting around the SAA benchmark / Aaron Drew ... [et al.]

Optimal construction of a fund of funds / Petri Hilli, Matti Koiva and Teemu Pennanen

Mortgage-backed securities in a strategic asset allocation framework / Myles Brennan and Adam Kobor

Quantitative portfolio strategy : including US MBS in global treasury portfolios / Lev Dynkin, Jay Hyman and Bruce Phelps

Volatility as an asset class for long-term investors / Marie Brière, Alexander Burgues and Ombretta Signori / A frequency domain methodology for time series modelling / Hens Steehouwer

Estimating mixed frequency data : stochastic interpolation with preserved covariance structure / Tørres G. Trovik and Couro Kane-Janus

Statistical inference for Sharpe ratio / Friedrich Schmid and Rafael Schmidt.

Notes:

Includes bibliographical references and index.

ISBN:

9780230240124

0230240127

OCLC:

429023927