The First Public Investors Conference

24-25 November, 2008
Frankfurt, Germany

             

On 24-25 November 2008, a conference on Strategic Asset Allocation for Central Banks and Sovereign Wealth Funds was held, jointly organized by the Bank for International Settlements, the European Central Bank, and the World Bank Treasury.


This conference aimed to explore ideas on:
A total of 35 speakers presented their perspectives on asset allocation, quantitative investment strategies and risk management.

  • Strategic asset allocation at central banks
  • Interest rate modelling and forecasting
  • Portfolio optimization techniques
  • Asset class modelling
  • Risk management at sovereign wealth funds

The proceedings of that conference are published in two books. 


Agenda

Monday, 24 November

07:30 a.m.

Registration
08:30 a.m.

Welcoming remarks

Session 1: Reserves Management

08:45 a.m.

Global Reserves Management
Krystzof Rybinski and Urszula Sowa, Ernst & Young and Millenium Bank
09:30 a.m.

Asset Liability Management for Central Banks
Urmila Kimoen and Ingmar van Herpt, De Nederlandsche Bank
10:30 a.m.

Mortgage Backed Securities in a Strategic Asset Allocation Framework
Adam Kobor and Myles Brennan, World Bank Treasury
11:00 a.m.

Comparing the Global Aggregate Index to a Blend of Global Treasuries and MBS
Lev Dynkin, Jay Hyman, Binu Balachandran, Lehman Brothers
11:30 a.m.

Combining Canadian Interest Rate Forecasts
David Bolder and Yuliya Romanyuk, Bank of Canada and Bank for International Settlements

Session 2 (Breakout): Reserves Management / Optimization

02:00 p.m.

Optimal Reserves Composition in the Presence of Sudden Stops
Roland Beck and Ebrahim Rahbari, European Central Bank
 

Scenario Dependent Portfolio Optimization
Roberts Grava, JP Morgan
02:30 p.m.

Combating Intervention Risks
Stephen Fisher, JP Morgan Asset Management
 

Strategic Asset Allocation with a Variable Investment Horizon
Paulo de Cacella, Antonio da Silva, Isabella Maia, Banco Central do Brasil
03:00 p.m.

Reserves Adequacy and Diversification
Vahe Sahakyan, Bank for International Settlements
 

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
Alejandro Reveiz and Carlos Leon, World Bank Treasury and Banco de la República Colombia

Session 3 (Breakout): Reserves Management / Fixed Income

03:45 p.m.

Conceptual issues in Central Bank Strategic Asset Allocation
Alex Joia, Bank for International Settlements

 

Dynamic Management of Interest Rate Risk Exposure
Gabriel Petre, World Bank Treasury
04:15 p.m.

Strategic Asset Allocation: Balancing Short-Term Liquidity Needs and Real Capital Preservation
Javier Bonza, Norma Gomez, Reinaldo Pabon, Fondo Latinamerico de Reservas
 

Updating the Yield Curve to Analysts' Views
Leonardo Nogueira, Banco Central do Brasil and ICMA
05:00 p.m.

A Spread Risk Model for Strategic Fixed Income Investors
Fernando Monar, European Central Bank
05:15 p.m.

Closing remarks

Tuesday, 25 November

Session 4: Sovereign Wealth Management

08:45 a.m.

The Impact of Sovereign Wealth Funds on Global Financial Markets
Michael Fidora and Roland Beck, European Central Bank
09:30 a.m.

Optimal Asset Allocation for Sovereign Wealth Funds
Bernd Schrerer and Andreas Gintschel, Morgan Stanley and JP Morgan
10:30 a.m.

Asset Allocation and Risk Management for Sovereign Wealth Funds
Fred Weinberger, Bennett Golub and Bernard Lee, Blackrock
11:00 a.m.

Strategic Investment and Risk Management for Sovereign Wealth Funds
Stijn Claessens and Jerome Kreuser, International Monetary Fund
11:30 a.m.

Alternatives and Asset Allocation: Implications for Investment Policy of Sovereign Wealth Funds
Kurt Winkelmann, Goldman Sachs

Session 5 (Breakout): Sovereign Wealth Funds / Asset Modelling

02:00 p.m.

Strategic Tilting Around the SAA Benchmark
Aaron Drew, Richard Frogley, Tore Hayward and Rishab Sethi, New Zealand Superannuation
 

A Frequency Domain Methodology for Time-Series Modeling
Hens Steehouwer, Ortec Consultants
02:30 p.m.

Optimal Size and Asset Allocation for Sovereign Wealth Funds
Yueyan Zhang and Xianhua Wei, Chinese Academy of Sciences
 

Statistic Inference for Sharpe's Ratio
Rafael Schmidt, Bank for International Settlements
03:00 p.m.

Asset Allocation: from Macro Themes to Portfolio Construction
Tony Day, Australia Government Future Fund
 

Combining Financial Data with Mixed Frequencies
Torres Trovik and Couro Kane, World Bank Treasury

Session 6 (Breakout): Emerging perspectives on asset allocation / Optimization

03:45 p.m.

Can life-cycle policies help collective pension schemes?
Roderick Molenaar, Roy Hoevenaars and Eduard Ponds, APG Investments
 

Using Economic Theory to Build Optimal Portfolios
Thomas Chevrier and Robert McCulloch, State Street Global Research
04:15 p.m.

Volatility as an Asset Class for Strategic Asset Allocation
M. Brière, A. Burgues and O. Signori, University Libre de Bruxelles and Credit Agricole
 

Galerkin Methods for Dynamic Stochastic Programming
Matti Koivu and Teemu Pennanen, Finish Financial Supervision Authority
04:45 p.m.

Copulas and Risk Measures for Strategic Asset Allocation
Cyril Caillault, Fortis
05:15 p.m.

Closing remarks