Central Bank Reserves and Sovereign Wealth Management (eBook)

ARJAN B. BERKELAAR is Head of Risk Management at Kaust Investment Management Company (KIMC) US. Prior to joining KIMC, heworked as Principal Investment Officer at the World Bank Treasury where he was responsible for developing investment strategiesand 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.

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