• Innovations and Reviews in Risk Management for Sovereign Institutions
• 63 min
  1. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 61 min
  2. Stochastic optimization and dynamics: what they are and why they are important for risk management in sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 85 min
  3. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 1

  • Prof. William Ziemba
• 52 min
  4. Tutorial on Kelly capital growth investment strategies for long term growth with application to SWFs 2

  • Prof. William Ziemba
• 50 min
  5. Applications of stochastic optimization to sovereign institutions 1

  • Prof. Dr. Jérôme L. Kreuser
• 54 min
  6. Applications of stochastic optimization to sovereign institutions 2

  • Prof. Dr. Jérôme L. Kreuser
• 51 min
  7. Risk management techniques in emerging markets

  • Mr. George R. Hoguet
• Stress Testing for Sovereign Institutions
• 70 min
  8. Modern approaches to stress testing central banks and financial systems: lessons learned from the crisis

  • Dr. Alexey Lobanov
• Risk Management at the Government Level
• 60 min
  9. Sovereign credit risk assessment: from traditional indicators to the contingent claim approach

  • Dr. Adam Kobor
• Risk Management for Central Banks
• 29 min
  10. Central bank asset allocation

  • Dr. Stephen Fisher
• 34 min
  11. Combating intervention risk

  • Dr. Stephen Fisher
• Risk Management for Ministries of Finance
• 38 min
  12. Models for risk aggregation and sensitivity analysis: an application to bank economic capital

  • Dr. Michael Jacobs
• 39 min
  13. Quantitative measurement and management of liquidity risk in a banking context

  • Dr. Michael Jacobs
• Risk Management for National Pension Funds
• 79 min
  14. A dynamic stochastic pension fund model 1

  • Prof. William Ziemba
• 55 min
  15. A dynamic stochastic pension fund model 2

  • Prof. William Ziemba
• 52 min
  16. The Swiss occupational pension system

  • Dr. Werner Nussbaum

Printable Handouts

PDF

Navigable Slide Index

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