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

Francisco Rivadeneyra, Jianjian Jin, Narayan Bulusu and Lukasz Pomorski
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Lukasz Pomorski: Bank of Canada,

Bank of Canada Review, 2013, vol. 2013, issue Spring, 29-36

Abstract: 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.

Date: 2013
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Handle: RePEc:bca:bcarev:v:2013:y:2013:i:spring13:p:29-36