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1. Introduction
2. Outline
3. Results and analysis (1)
4. Properties captured
5. Trees
6. Results and analysis (2)
7. Additional solution information
8. Model can be balance sheet
9. Further analysis with DSP
10. Results and analysis (3)
11. An example using RBI
12. RBI model built and run on Jan. 16, 2009
13. Concerns of RBI
14. India's objectives of holding reserves
15. What can RBI do now?
16. What should RBI do now?
17. Parameters / risk factors converted to CVaR (1)
18. Parameters / risk factors converted to CVaR (2)
19. Choice of parameters and risk factors rational (1)
20. Choice of parameters and risk factors rational (2)
21. Choice of parameters and risk factors rational (3)
22. Mean-reverting branching tree
23. Solution summary
24. Summary of the asset classes
25. Shortfall times GDP growth minus portfolio
26. Ratio percent NFA divided by NFA plus NDA
27. Shortfall in liquid assets
28. Return on portfolio percent
29. A summary table
30. Looking back
31. Foreign exchange reserves
32. Histogram of the distribution of reserves
33. Distribution of reserves in $US billions
34. Expected percent currency composition (%)
35. Distributions of long bonds
36. The actual asset composition of RBI
37. Summary and conclusions
38. Summary
39. References
40. References and resources
41. Conclusions

Topics Covered

• Properties captured by DSP models
• Marginal value solution information and sensitivity analysis
• Visualization is the key to unlocking complexity
• An example with the Reserve Bank of India with 21 risk constraints mapping institutional strategic objectives

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 1, 2012