NDLI: Strategic foreign reserves risk management: Analytical framework

Content Provider	Springer Nature Link
Author	Claessens, Stijn Kreuser, Jerome
Copyright Year	2006
Abstract	We present an analytical framework for active foreign exchange reserves management that integrates risk-return objectives with macroeconomic, macro-prudential and sovereign debt management concerns. Our framework allows for very general objective functions, does not restrict the class of eligible stochastic processes or limit the investment universe, and can incorporate many types of macroeconomic concerns. It incorporates several kinds of risk constraints in order to obtain benchmarks satisfying possible central bank requirements of safety, liquidity, returns, and stability. Feedback between outcomes and decisions is easy using tools that reshape distributions and functions of the outcomes. And the model can be run on a PC-based platform. We apply the framework to several common reserves management problems focusing especially on the formulation of model equations, generation of trees and estimation of density functions of outcomes. We compare our approach to those used by many central banks and discuss advantages to our approach.
Starting Page	79
Ending Page	113
Page Count	35
File Format	PDF
ISSN	02545330
Journal	Annals of Operations Research
Volume Number	152
Issue Number	1
e-ISSN	15729338
Language	English
Publisher	Kluwer Academic Publishers-Plenum Publishers
Publisher Date	2006-11-21
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Reserves management ALM Asset/liability Dynamic stochastic optimization Theory of Computation Combinatorics Operations Research/Decision Theory
Content Type	Text
Resource Type	Article
Subject	Management Science and Operations Research

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