The Second Public Investors Conference

16-17 November, 2009
Washington, DC

             

On November 16-17 the Bank for International Settlements, the European Central Bank and the World Bank jointly organised a conference on Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds.

The conference was targeted at quantitative experts from the community of central banks and sovereign wealth managers (including commodity savings funds and sovereign pension funds) as well as academics. It aimed at:

  • Fostering the development and dissemination of best practices in the areas of portfolio and risk management,
  • Facilitating knowledge sharing across organisations,
  • Encouraging collaboration and an on-going dialogue between reserves and asset management specialists of the participating organisations.

The proceedings of that conference are published in one book. 


Agenda

Monday, 16 November

08:00 a.m.

Registration
09:00 a.m.

Welcoming remarks

Session 1: Reserves Management

09:15 a.m.

Introduction to Reserve Management
Ulrich Bindseil, European Central Bank
09:30 a.m.

Central Banks as Governors of Financial Policy
John Cochrane, University of Chicago Booth School of Business
10:00 a.m.

Asset-Liability Management for Central Banks: an Overview
Yuliya Romanyuk, Bank of Canada
11:30 a.m.

Did China Diversify its Foreign Reserves?
Liugang Sheng, Department of Economics, University of California, Davis
12:00 a.m.

International Reserves Management and Currency Composition: A New Multi-Criteria: Optimization Framework based on a Measure of Relative Numeraire Risk
Poomjai Nacaskul, Bank of Thailand

Session 2 (Breakout): Dynamic Asset Allocation/ Inflation Hedging

02:00 p.m.

A Dynamic Behavioral Approach to Strategic Asset Allocation: Living with Uncertainty and Diverse Objectives
Jose Luiz Barron Fernandes and Paulo Mauricio Fonseca de Cacella, Banco Central do Brasil
 

Inflation Hedging for Long-term Investors
Alexander Attie and Shaun Roache, International Monetary Fund
02:30 p.m.

Dynamic Strategic Asset Allocation: bringing together conditional expected returns and full-scale parametric portfolio optimization
Chris Jeffery, Koye Somefun and Emiel van den Heiligenberg, Fortis Asset Management
 

Inflation Hedging Portfolios in Different Regimes
Marie Briere and O. Signori, Credit Agricole Asset Management
03:00 p.m.

Governance, Investment Beliefs and Dynamic Asset Allocation
Sue Brake, Aaron Drew and David Iverson, Guardians of New Zealand Superannuation
 

Modeling the Term Structures of Real and Nominal Rates using an Arbitrage Free Nelson-Siegel Model
Arjan Berkelaar, KAUST Investment Management Company and
Ken Nyholm, European Central Bank

Session 3 (Breakout): Reserves Management / Fixed Income

04:00 p.m.

Active Portfolio Management in the Public Sector
Joachim Coche, Sandra Haasis and Vahe Sahakyan, Bank for International Settlements
 

Asset allocation: There is a better way to define your betting chips
Torres Trovik and Gabriel Petre, World Bank Treasury
04:30 p.m.

Active Management of Currency Baskets
Alejandro Reveiz, World Bank Treasury
 

Reserve Management Lessons from the Crisis: Credit Risk vs. Duration
Han van der Hoorn and Jukka Pihlman, International Monetary Fund
05:00 p.m.

The Black-Litterman Model in Central Banking Practice
Tihomir Petrović, National Bank of Serbia
 

Ex Post Portfolio Performance with Predictable Skewness and Kurtosis
Massimo Guidolin and Giovanna Nicodanoz, Federal Reserve Bank of St. Louis, Manchester Business School and Universita di Torino
05:30 p.m.

Closing remarks

Tuesday, 17 November

Session 4: Sovereign Wealth Management

09:00 a.m.

Sovereign Wealth Funds: Investment Choices and Implications Around the World
Nuno Fernandes, IMD International
09:30 a.m.

Where Next For National Wealth Management?
Gary Smith, BNP
10:00 a.m.

How and Why do Sovereign Wealth Funds Tilt Their Portfolios?
Alexander Dyck and Adair Morse, University of Toronto and University of Chicago
11:00 a.m.

Firm Values and Sovereign Wealth Fund Investments
Kathryn L. Dewenter, Xi Han and Paul H. Malatesta, University of Washington
11:30 a.m.

Bilateral Political Relations and the Impact of Sovereign Wealth Fund Investment: A Study of Causality
April Knill, Bong-Soo Lee, Nathan Mauck, Florida State University
12:00 p.m.

The Role of SDR-denominated Securities in Official and Private Portfolios
George Hoguet and Solomon Tadesse, State Street Global Advisors

Session 5 (Breakout): Alternatives / Quantitative Techniques

02:00 p.m.

Alternative Investments in SWF and Central Bank Portfolios
Sameer Jain, Citigroup
 

Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes
Lillie Lam, Laurence Fung, and Ip-wing Yu, Hong Kong Monetary Authority
02:30 p.m.

Alternative Assets, Portfolio Construction and Commitment Strategy
Hai Dong, Abu Dhabi Investment Company
 

A Simple Performance Attribution Methodology for Fixed Income Portfolios in a Typical Central Bank Investment Process
Antonio Francisco A. Silva Jr., Pablo Jose Campos de Carvalho and Jose Renato Haas Ornelas, Banco Central do Brasil
03:00 p.m.

The Relevance of ESG to Sovereign Wealth Funds
Couro Kane, World Bank Treasury
 

A Sovereign Asset-Liability Framework with Multiple Risk Factors for External
Reserves Management Himadri Bhattacharya and Jerome Kreuser, Tata Capital Limited and the RisKontrol Group

Session 6: Risk Management

04:00 p.m.

ZEUS project: A Financial Tool for Public Investors
Isabela Ribeiro Damaso Maia and Paulo Mauricio Fonseca de Cacella, Banco Central do Brasil
 04:30 p.m.

Risk Models After the Credit Crisis
R.W.J. van den Goorbergh, R.D.J. Molenaar, O.W. Steenbeek and P.J.G. Vlaar APG Investments
05:00 p.m.

Dependence Structure of Risk Factors and Diversification Effects
Chen Zhou, De Nederlandsche Bank
05:30 p.m.

Market Based Indicators for Counterparties Selection
Marcelo Yoshio Takami, Banco Central do Brasil
06:00 p.m.

Closing remarks