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Printable Handouts
Navigable Slide Index
- Introduction
- The 'risk-return' trade-off
- Any new investment poses suitability questions
- Traditional CB benchmark setting process
- Portfolio optimisation must control 4 key factors
- Factors influencing desired currency allocation
- Optimal currency mix provides flexibility & control
- Liquidity is often controlled by portfolio risk levels
- Controlling liquidity based on transaction costs
- Transaction costs assumptions
- Downside risk: best controlled at the portfolio level
- Credit quality is controlled in three ways
- Event and default transition probabilities
- Capital market opportunity set (in local currency)
- Efficient frontier with baseline constraint set
- A typical portfolio
- Relaxing the currency constraint
- Minimum variance portfolio holds more US dollars
- Relaxing the within-country duration constraint
- A portfolio with equivalent risk to base case (1)
- Relaxing the credit constraint
- A portfolio with equivalent risk to base case (2)
- Conclusions
This material is restricted to subscribers.
Topics Covered
- Central bank asset allocation
- Optimal currency mix
- Portfolio diversification
- Traditional central bank asset allocation approach
- Portfolio efficiency
- Currency and bond correlation
- Quantitative treatment of credit risk
- Liquidity modeling
- Total portfolio risk
- Government and non-government risk
- Minimum risk portfolio
- Currency diversification
- Maximum portfolio efficiency
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Talk Citation
Fisher, S. (2012, March 1). Central bank asset allocation [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved August 31, 2024, from https://doi.org/10.69645/SMSN4051.Export Citation (RIS)