| Document Type
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BL
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| Record Number
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1043346
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| Doc. No
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b797716
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| Title & Author
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Risk management for central bank foreign reserves /\ editors, Carlos Bernadell [and others].
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| Publication Statement
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Frankfurt am Main :: European Central Bank,, 2004.
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| Page. NO
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367 pages :: illustrations ;; 25 cm
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| ISBN
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9291814970
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: 9291814989
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: 9789291814978
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: 9789291814985
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| Bibliographies/Indexes
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Includes bibliographical references.
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| Contents
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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.
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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.
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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.
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| Subject
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Bank reserves.
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| Subject
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Banks and banking, Central.
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Risk management.
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| Subject
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Analyse des risques.
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| Subject
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Bank reserves.
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Banks and banking, Central.
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| Subject
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Banques centrales.
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| Subject
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Réserves bancaires.
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| Subject
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Risk management.
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| Subject
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Notenbank.
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| Subject
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Notenbank.
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| Subject
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Risikomanagement.
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| Subject
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Risikomanagement.
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| Subject
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Währungsreserve.
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| Subject
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Währungsreserve.
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| Subject
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Banken (financiële instellingen)
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| Subject
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Reserves.
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| Subject
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Risk management.
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| Subject
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Valutabeleid.
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| Dewey Classification
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332.112
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| LC Classification
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HG1854.R57 2004
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| NLM classification
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650sdnb
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83.44bcl
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QK 900rvk
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QM 331rvk
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| Added Entry
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Bernadell, Carlos.
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| Added Entry
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European Central Bank.
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