Research Catalog

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

Title
Risk management for central bank foreign reserves / editors, Carlos Bernadell [and others].
Publication
Frankfurt am Main : European Central Bank, 2004.

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Details

Additional Authors
  • Bernadell, Carlos.
  • European Central Bank. http://id.loc.gov/authorities/names/n95055518
Description
367 pages : illustrations; 25 cm
Subject
  • Bank reserves
  • Banks and banking, Central
  • Risk management
Bibliography (note)
  • Includes bibliographic references.
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.
ISBN
9291814970
Owning Institutions
Columbia University Libraries