European University Institute Library

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

eng

Includes bibliographic references

illustrations

no index present

non fiction

Risk management for central bank foreign reserves

bibliography

55758275

editors, Carlos Bernadell ... [and others]

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 optimisationPart 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 risksPart 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