The Lehman Brothers failure stressed global interbank and foreign exchange markets because it led to a run on money market funds, the largest suppliers of dollar funding to non-US banks. Policy stopped the run and replaced private with public funding.

As reserve accumulation has gathered pace in recent years, and as foreign exchange (FX) reserve holdings have risen far above conventional measures of reserve adequacy, a vigorous debate has begun as to whether part of the reserves should be invested in riskier assets to reduce their financial...

A striking feature of financial market behaviour in recent years has been the low level of price volatility over a wide range of financial assets and markets. The issue has attracted the attention of central bankers and financial regulators due to the potential implications for financial...

This paper provides a quantitative framework for choosing the composition of reserve currencies. Assuming that the central bank's performance objectives are defined in terms of ex post returns in different currency numeraires, the currency allocation problem is formulated as a multi-objective...

Many global investors are faced with the problem of choosing an appropriate currency allocation of their assets in the capital markets. This paper addresses the asset allocation problem under the assumption that the investment universe is comprised of unhedged risk-free bonds in different...

This paper examines the one-step prediction of financial time series from a binary decision theory perspective. Under the assumption that the decision statistic of the binary hypothesis testing problem is a Gaussian random variable, bounds for the forecasting efficiency of the hypothesis testing...

This paper presents an approach to portfolio selection using fuzzy decision theory. The approach is such that a given target rate of return is achieved for an assumed market scenario. If the assumed market scenario turns out to be incorrect, the portfolio is guaranteed to secure a given minimum...