Asset-Liability Management: An Overview

Yuliya Romanyuk

Discussion Papers from Bank of Canada

Abstract: Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA). The author describes the general idea behind ALM, its pros and cons, risk measures and strategies, as well as some applications. Particular attention is paid to central bank reserves management. Ideas and suggestions are offered for future research on the ALM framework for the EFA.

Keywords: Foreign; reserves; management (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2010
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocadp:10-10

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