Copulas and Risk Measures for Strategic Asset Allocation: A Case Study for Central Banks and Sovereign Wealth Funds

Cyril Caillault and Stéphane Monier

Chapter 8 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 158-177 from Palgrave Macmillan

Abstract: Abstract Between 1995 and 2008, global total official reserves, excluding gold, grew from $1.3 trillion to $6.0 trillion. Growth has been particularly strong since 2002. The bulk of the increase took place in emerging economies, whereas the reserves of the G-10 countries excluding Japan have remained stable. Foreign exchange market interventions, on the other hand, have declined substantially in developed economies. In Table 8.1, we present estimates of the reserves of various central banks.

Keywords: Risk Measure; Asset Allocation; Tail Dependence; Akaike Information Criterion; Asset Class (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1057/9780230251298_8

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