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Navigable Slide Index

1. Introduction
2. Combating intervention risk
3. Agenda
4. FX intervention
5. Traditional advice for asset allocation
6. Asset allocation helps combat intervention risk
7. Main findings are striking
8. The dynamic model
9. The model is used to explore intervention risk
10. Intervention policy rule
11. The classical FX policy rules
12. Asset risk and return assumptions
13. Monte Carlo simulations
14. FX intervention policy examples
15. Latin volatility case
16. Risk of insolvency over 20 years
17. Aggressive asset allocations avert insolvency
18. Summary: Latin volatility
19. Asian world dominance
20. Reserves grow fast or faster over 20 years
21. Occasional liquidation required
22. Summary: Asian world dominance
23. Hands off NZ'
24. NZ policy rule reflects crisis intervention
25. Investment policy has little effect
26. Limited circumstances
27. Minimum level of reserves to avoid insolvency
28. Summary: 'Hands off' NZ
29. Practical conclusions (1)
30. Practical conclusions (2)
31. Appendix
32. Transition matrix estimate
33. Factors affecting intervention

Topics Covered

• Foreign exchange intervention
• Speculative attack
• Foreign reserves management
• Treatment of intervention and reserves management together
• Dynamic asset allocation -Diversification
• State dependent probability transition matrix
• Intervention policy rule
• Insolvency
• IMF
• Latin volatility
• Asian dominance
• NZ FX intervention
• Aggressive asset allocation
• Conservative asset allocation
• Practical implications

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 1, 2012