Overview
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About this book
This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.
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Keywords
Table of contents (17 chapters)
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Front Matter
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Interest Rate Modelling and Forecasting
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Front Matter
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Portfolio Optimization Techniques
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Front Matter
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Asset Class Modelling and Quantitative Techniques
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Front Matter
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Editors and Affiliations
About the editors
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.
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.
Bibliographic Information
Book Title: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
Editors: Arjan B. Berkelaar, Joachim Coche, Ken Nyholm
DOI: https://doi.org/10.1057/9780230251298
Publisher: Palgrave Macmillan London
eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)
Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2010
Hardcover ISBN: 978-0-230-24012-4Published: 30 November 2009
Softcover ISBN: 978-1-349-31641-0Published: 30 November 2009
eBook ISBN: 978-0-230-25129-8Published: 30 November 2009
Edition Number: 1
Number of Pages: XXXIX, 366
Number of Illustrations: 48 b/w illustrations
Topics: Economic Policy, Risk Management, Business Strategy/Leadership, Business Finance, Banking, Investments and Securities