Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves
Narayan Bulusu and
Additional contact information
Lukasz Pomorski: Bank of Canada, http://www.bankofcanada.ca/
Bank of Canada Review, 2013, vol. 2013, issue Spring, 29-36
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.
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.bankofcanada.ca/wp-content/uploads/2013 ... ng13-rivadeneyra.pdf full text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bca:bcarev:v:2013:y:2013:i:spring13:p:29-36
Access Statistics for this article
More articles in Bank of Canada Review from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada.
Bibliographic data for series maintained by ().