Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.

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Year of publication:	2013
Authors:	Rivadeneyra, Francisco ; Jin, Jianjian ; Bulusu, Narayan ; Pomorski, Lukasz
Published in:	Bank of Canada Review. - Bank of Canada. - Vol. 2013.2013, Spring, p. 29-36
Publisher:	Bank of Canada

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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