Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds - Tapa dura

 
9780230240124: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
Tapa dura
ISBN 10: 0230240127 ISBN 13: 9780230240124
Editorial: Palgrave Macmillan, 2009

Sinopsis

List of Illustrations Preface Introduction About the Editors Notes on Contributors PART I: INTEREST RATE MODELLING AND FORECASTING Combining Canadian Interest Rate Forecasts; D.Bolder & Y.Romanyuk Updating the Yield Curve to Analysts’ Views; L.Nogueira A Spread Risk Model for Strategic Fixed Income Investors; F.Monar & K.Nyholm Dynamic Management of Interest Rate Risk Exposure; G.Petre & A.Berkelaar PART II: PORTFOLIO OPTIMISATION TECHNIQUES Strategic Asset Allocation with a Variable Investment Horizon; P.de Cacella, A.da Silva & I.Maia Hidden Risks in Mean Variance Optimization, J.Fernandes & J.Ornelas Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space; A.Reveiz & C.Leon Copulas and Risk Measures for Strategic Asset Allocation; C.Caillault& S.Monier Scenario Dependent Portfolio Optimization; R.Grava Strategic Tilting Around the SAA Benchmark; A.Drew, R.Frogley, T.Hayward & R.Sethi Optimal Construction of a Fund of Funds; P.Hilli, M.Koivu & T.Pennanen PART III: ASSET CLASS MODELLING AND QUANTITATIVE TECHNIQUES Mortgage Backed Securities in a Strategic Asset Allocation Framework; A.Kobor & M.Brennan Comparing the Global Aggregate Index to a Blend of Global Treasuries and MBS; L.Dynkin, J.Hyman & B.Phelps Volatility Exposure for Strategic Asset Allocation; Marie Brière, A.Burgues & O.Signori A Frequency Domain Methodology for Time-Series Modeling; H.Steehouwer Combining Financial Data with Mixed Frequencies; T.Trovik & C.Kane Statistical Inference for Sharpe’s Ratio; F.Schmid & R.Schmidt Appendix Notes Bibliography Index

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Acerca del autor

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

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Editorial
Palgrave Macmillan
Año de publicación
2009
Idioma
Inglés
ISBN 10 
0230240127
ISBN 13 
9780230240124
Encuadernación
Tapa dura
Número de páginas
408
Editor
Berkelaar A., Coche J., Nyholm K.
Contacto del fabricante
Springer Nature Customer Service Center GmbH
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Heidelberg
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Alemania

Otras ediciones populares con el mismo título

9781349316410: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Edición Destacada

ISBN 10:  1349316415 ISBN 13:  9781349316410
Editorial: Palgrave Macmillan, 2009
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