Central Bank Reserves and Sovereign Wealth Management

1. Front Matter

   Pages i-liii

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2. Central Bank Reserves Management

   1. Front Matter

      Pages 1-1

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   2. Global Reserves Management

      • Krzysztof Rybinski, Urszula Krynska

      Pages 3-40

   3. Framework and Process for Strategic Asset Allocation in Central Bank Foreign Exchange Reserves Management

      • Alex Joia, Joachim Coche

      Pages 41-72

   4. Strategic Asset Allocation: Balancing Short-Term Liquidity Needs and Real Capital Preservation for Central Banks

      • Javier Bonza, Norma Gómez, Reinaldo Pabón

      Pages 73-102

   5. Assets and Liabilities Management for Central Banks

      • Urmila Kisoen

      Pages 103-139

   6. Combating Intervention Risk

      • Stephen John Fisher

      Pages 140-161

   7. Reserves Adequacy and Composition

      • Joachim Coche, Vahe Sahakyan

      Pages 162-177

3. Sovereign Wealth Management

   1. Front Matter

      Pages 179-179

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   2. Strategic Asset Allocation and Portfolio Construction for Sovereign Wealth Managers

      • Bernard Lee, David Rogal, Fred Weinberger

      Pages 181-219

   3. A Note on Portfolio Choice for Sovereign Wealth Funds

      • Bernd Scherer

      Pages 220-230

   4. Portfolio Choice for Oil Based Sovereign Wealth Funds

      • Bernd Scherer

      Pages 231-246

   5. Strategic Investment and Risk Management for Sovereign Wealth Funds

      • Stijn Claessens, Jerome Kreuser

      Pages 247-284

   6. Optimal Scale and Asset Allocation for Sovereign Wealth Funds: China’s Case

      • Yueyan Zhang, Xianhua Wei

      Pages 285-308

   7. Foreign Exchange Reserves and Sovereign Wealth Funds: Will They Change the Global Financial Landscape?

      • Roland Beck, Michael Fidora

      Pages 309-327

   8. Public Investment Funds and Value-Based Generational Accounting

      • Roy P. M. M. Hoevenaars, Roderick D. J. Molenaar, Eduard H. M. Ponds

      Pages 328-348

4. Back Matter

   Pages 349-362

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This is an edited collection of essential readings on Reserves Management and Sovereign Wealth Management, from the recent SAA conference organized by the Bank for International Settlements, the European Central Bank and the World Bank Treasury. It offers an exchange of views on technical and implemental issues of financial models.

• asset allocation
• bank
• capital
• investment
• Portfolio
• Risk Management
• Treasury
• banking
• investments and securities

• Kaust Investment Management Company, USA

  Arjan B. Berkelaar

• Bank for International Settlements, Switzerland

  Joachim Coche

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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