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Navigable Slide Index

1. Introduction
2. Outline
3. Overview (1)
4. Overview (2)
5. Why DSP is important to sovereign institutions (1)
6. Why DSP is important to sovereign institutions (2)
7. Why DSP is important to sovereign institutions (3)
8. Objectives and objective functions (1)
9. Objectives and objective functions (2)
10. Objectives and objective functions: CB example
11. Objective: discounted wealth or log of wealth
12. Objective: discounted wealth less shortfalls
13. Objective: discounted wealth preference
14. Additional objective functions
15. Multi-factor risks and objectives (1)
16. Multi-factor risks and objectives (2)
17. Objectives included
18. Multiple risk constraints
19. Why CVaR risk constraints
20. CVaR formulation
21. Example of some "risk factors or objectives"
22. Model structures
23. Structural and policy constraints examples
24. Can control extreme events (1)
25. Can control extreme events (2)
26. Revisiting our single model equation
27. Simplified cash flow equations
28. Snippet of GAMS code
29. Managing reserves relative to short-term debt

Topics Covered

• A review of dynamic stochastic programming (DSP)
• Pillars of DSP: scenario trees and models
• Why DSP is important to sovereign institutions
• Institutional objectives and objective functions in a DSP model
• Going from "CEO speak" to "risk management speak"
• Mapping central bank strategic objectives to risk limits and model objectives
• Various kinds of model objective functions
• Handling multiple institutional objectives
• How to shape distributions of multiple outcomes
• Complex objectives like ratio of reserves to short-term-debt
• Multiple objectives like safety, liquidity, returns, and stability
• Conditional value at risk (CVaR) constraints and controlling extremes
• Model structures
• Controlling extreme events

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 1, 2012