The Fifth Public Investors Conference

17-18 November, 2014
Basel, Switzerland

        

On 17-18 November the Bank for International Settlements and the World Bank jointly organised the Fifth Public Investors Conference. 

Since the Global Financial Crises of 2008, private and public institutions have been struggling with a market environment of low yields, low premia and muted forward-looking return expectations for most asset classes. The conference has shown some responses by public institutions to this challenge.

  • First, investors - in particular central bank reserve managers - appear to consider a significantly broader investment universe which often now includes inflation-linked instruments, local currency emerging market bonds and in some cases equites.
  • At the same time, the low yield environment appears to trigger interest in dynamic asset allocation strategies and derivatives based strategic allocation to meet minimum return requirements. Furthermore, there is also renewed interest in active management for enhancing return.
  • Among the technical contributions in the fields of credit and liquidity risk modelling we noted a common trend to go beyond standard modelling assumptions to better incorporate "reality" into the decision making processes.
  • Finally - judging from the presentations and discussions at the conference - improvements in governance structures and frameworks are made to better account for the specific investment rationales and accountabilities that public investors are subject to.

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 aims to facilitate an ongoing dialogue between the reserve and asset management specialists of the participating organisations, encouraging knowledge sharing and collaboration across organisations, and fostering the development and dissemination of the best practices in public sector portfolio and risk management. 

The proceedings of this conference were published through Elsevier.


Agenda

Monday, 17 November

08:15 a.m.

Registration
09:00 a.m.

Welcoming remarks
09:15 a.m.

Keynote address: Changing Face of Financial Intermediation: Implications for Financial Stability
Hyun Song Shin, Economic Advisor & Head of Research, BIS

Session 1: Challenges for Public Investors

09:00 a.m.

Optimal Currency Allocation for Sovereign Wealth Funds and Central Banks
Ricardo Adrogue, Babson Capital Management, Boston
Michael Dooley, University of California, Santa Cruz
09:45 a.m.

Tracking Global Demand for Emerging Market Sovereign Debt
Serkan Arslanap, IMF
10:30 a.m.

Investment Environment under the New Paradigm
Ki-Jeong Kim, The Bank of Korea

Session 2 (Breakout): Portfolio Management / Asset Allocation

02:30 p.m.

Optimal ALM for Central Bank Reserves
Fahad Alhumaidah, ICMA, Centre of the University of Reading, UK
 

Delegated Investment Management in Alternative Assets
Aleksandar Andonov, Erasmus University Rotterdam
03:00 p.m.

Framework for Enhanced Modelling of Collateralised Lending
Constantine Christofides, Central Bank of Ireland
 

The Case for Dynamic Asset Allocation for Long Term Investors
Gabriel Petre, World Bank
03:30 p.m.

Portfolio Selection with Options and Transaction Costs
Semyon Malamud, Swiss Finance Institute
 

Views, Factor Models and Optimal Asset Allocation for Sovereign Wealth Funds
Martin van der Schans, Ortec Finance Reserch Center, Rotterdam

Session 3 (Breakout): Term Structure Modelling / Sovereign Wealth Funds

04:30 p.m.

A Rotated Dynamic Nelson-Siegel Model with Macro-Financial Applications
Ken Nyholm, ECB
 

The Role of Commodities in Strategic Asset Allocation
Athanasios Sakkas, Athens University of Economics and Business
05:00 p.m.

Dynamic Strategies for Net Income Generation in a Low Interest Rate Environment
Eric Bouyé, World Bank
 

Sovereign Wealth Fund Investment Performance: Some Stylized Strategic Asset Allocation Results
Michael Papaioannou, IMF
05:30 p.m.

A Regional Factor Approach to Forecast Term Structures in Emerging Local Currency Sovereign Bond Markets
Lillie Lam, BIS
 

Promotion and relegation between country risk classes as maintained by country risk rating agencies
Johannes Fedderke, Pennsylvania State University


Tuesday, 18 November

08:15 a.m.

Valuation in Illiquid Markets
Ernst Eberlein, University of Freiburg, Germany

Session 4: Sovereign Wealth Funds

10:00 a.m.

An Asset Allocation Framework for Stabilization Funds with an Application to Chile's Fees
Eduardo Walker, Pontificia Universidad Católica de Chile
11:00 a.m.

Sovereign Wealth Funds: A Strategic Governance View
Javier Capape Aguilar, Ramon Llull University
11:45 a.m.

A Disclosure Framework for Public Fund Investment Policies
Paul Rose, Ohio State University

Session 5: Reserve Management

02:00 p.m.

Foreign Reserves and Tail Risks
Francisco Rivadeneyra, Bank of Canada
02:45 p.m.

A Tool for Measuring and Managing Credit Risk in Portfolios of Foreign Reserves
Marco Ruiz, Bank of the Republic, Colombia
04:00 p.m.

Enhancing the Toolbox of Fixed Income Active Portfolio Management: Financial Risk Factors, Macroeconomic Variables and Investor Sentiment
Gioia Cellai, Banca d'Italia
04:45 p.m.

Closing remarks