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Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds

紀錄類型:	書目-電子資源 : 單行本
正題名/作者:	Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds/ edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm.
其他作者:	Berkelaar, Arjan B.
出版者:	Basingstoke, UK ;Palgrave Macmillan, : 2010.,
面頁冊數:	xxxix, 366 p. :ill. ; : 23 cm.;
標題:	Asset-liability management. -
電子資源:	access to fulltext (Palgrave)
ISBN:	9780230251298

Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds[electronic resource] /edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm. - Basingstoke, UK ;Palgrave Macmillan,2010. - xxxix, 366 p. :ill. ;23 cm.

Includes bibliographical references and index.

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 strategicfixed-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 assetallocation methodology using variable time horzon / Paulo Maurâicio F. de Cacella, Isabela Ribeiro Damaso and Antãonio Francisco da Silva, Jr. -- Hidden risks in mean-variance optimization : an integrated-risk asset allocation proposal / Josâe Luiz Barros Fernandes and Josâe Renato Haas Ornelas -- Efficient portfolio optimization in the wealth creation and maximum drawdown space / Alejandro Reveiz and Carlos Leâon -- Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds / Cyril Caillault and Stâephane Monier -- Practical scenario-dependent portfolio optimization : a framework to combine investor views and quantitative disciplineinto 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 Briáere, Alexander Burgues and Ombretta Signori / A frequency domain methodology for time series modelling / Hens Steehouwer -- Estimating mixed frequency data : stochastic interpolation withpreserved covariance structure / T²rres G. Trovikand Couro Kane-Janus -- Statistical inference for Sharpe ratio / Friedrich Schmid and Rafael Schmidt.

This book is an edited collection of some of the papers from the November 2008 conference on Strategic Asset Allocation for Central Banks and Sovereign Wealth Managers, held jointly by the Bankfor International Settlements, The European Central Bank and the World Bank. It presents practical and easily implementable, state-of-the-art methods and techniques for strategic asset allocation in public organisations, not onlyin central banking but also in the wider financial sector. Collectively, these papers present the current 'industry standard' and outline 'best practices' in the areas of: interest rate management and forecasting; public investor portfolio optimization methods; asset class modeling and quantitative techniques. The book closes the gap in the finance literature on how to implement and support long-term investment decisions.It belongs on the shelf of every financial analyst and modeller working in public wealth-management.

Electronic reproduction.
Basingstoke, England :
Palgrave Macmillan,
2010.

Mode of access:World Wide Web.

ISBN: 9780230251298

Standard No.: 10.1057/9780230251298doiSubjects--Topical Terms:

233837
Asset-liability management.
Index Terms--Genre/Form:

96803
Electronic books.

LC Class. No.: HG1615.25 / .I58 2010

Dewey Class. No.: 332.1/13

Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
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245 0 0 $a Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds $h [electronic resource] / $c edited by Arjan B. Berkelaar, Joachim Coche, Ken Nyholm.
260 $a Basingstoke, UK ; $a New York : $c 2010. $b Palgrave Macmillan,
300 $a xxxix, 366 p. : $b ill. ; $c 23 cm.
504 $a Includes bibliographical references and index.
505 0 $a 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 strategicfixed-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 assetallocation methodology using variable time horzon / Paulo Maurâicio F. de Cacella, Isabela Ribeiro Damaso and Antãonio Francisco da Silva, Jr. -- Hidden risks in mean-variance optimization : an integrated-risk asset allocation proposal / Josâe Luiz Barros Fernandes and Josâe Renato Haas Ornelas -- Efficient portfolio optimization in the wealth creation and maximum drawdown space / Alejandro Reveiz and Carlos Leâon -- Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds / Cyril Caillault and Stâephane Monier -- Practical scenario-dependent portfolio optimization : a framework to combine investor views and quantitative disciplineinto 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 Briáere, Alexander Burgues and Ombretta Signori / A frequency domain methodology for time series modelling / Hens Steehouwer -- Estimating mixed frequency data : stochastic interpolation withpreserved covariance structure / T²rres G. Trovikand Couro Kane-Janus -- Statistical inference for Sharpe ratio / Friedrich Schmid and Rafael Schmidt.
520 $a This book is an edited collection of some of the papers from the November 2008 conference on Strategic Asset Allocation for Central Banks and Sovereign Wealth Managers, held jointly by the Bankfor International Settlements, The European Central Bank and the World Bank. It presents practical and easily implementable, state-of-the-art methods and techniques for strategic asset allocation in public organisations, not onlyin central banking but also in the wider financial sector. Collectively, these papers present the current 'industry standard' and outline 'best practices' in the areas of: interest rate management and forecasting; public investor portfolio optimization methods; asset class modeling and quantitative techniques. The book closes the gap in the finance literature on how to implement and support long-term investment decisions.It belongs on the shelf of every financial analyst and modeller working in public wealth-management.
533 $a Electronic reproduction. $b Basingstoke, England : $c Palgrave Macmillan, $d 2010. $n Mode of access:World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Apr. 12, 2010). $n Access may be restricted to users at subscribing institutions.
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650 0 $a Financial institutions $x Investments. $3 305500
655 7 $a Electronic books. $2 local. $3 96803
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700 1 $a Nyholm, Ken. $3 305498
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