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1. Introduction
2. Outline
3. A framework for sovereigns
4. Central banks are different (1)
5. Central banks are different (2)
6. Managing reserves relative to short term debt
7. SWFs are different (1)
8. SWFs are different (2)
9. Sample SWF model
10. Elements of a framework
11. Why DSP is important to sovereign institutions
12. Existing risk management for SWFs
13. Reasons for improving risk management
14. Current concerns (1)
15. Current concerns (2)
16. Why DSP is important (1)
17. Why DSP is important (2)
18. Why DSP is important (3)
19. Importance of DSP for public institutions
20. Crises, DSP, and sovereign institutions
21. Crises are important to sovereign institutions
22. Anticipating the next crisis
23. Crises as dragon kings
24. Crises: usually not black swans but dragon kings
25. Summary and conclusions
26. Steps towards full DSP (1)
27. Steps towards full DSP (2)
28. From Ziemba's top 10 points (1)
29. From Ziemba's top 10 points (2)
30. From Kreuser's top 10 points (1)
31. From Kreuser's top 10 points (2)
32. Portfolio value comparison
33. Scenario generation out of the stochastic tree
34. References and resources (1)
35. References and resources (2)
36. Summary

Topics Covered

• A framework for sovereigns
• Why DSP is important to sovereign institutions
• Improving risk management for sovereigns
• Crises, DSP, and sovereign institutions
• Impact of crisis on sovereigns
• Anticipating the next crisis
• Mapping a migration path from mean-variance to dynamic stochastic programming
• Main points to consider for DSP
• An example with a sovereign wealth fund implementing momentum and mean-reversion

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 1, 2012