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

Abstract

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 Bank for 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 only in 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.