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Asset-Liability Management: An Overview

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  • Yuliya Romanyuk

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.

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File URL: http://www.bankofcanada.ca/en/res/dp/2010/dp10-10.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Discussion Papers with number 10-10.

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Length: 41 pages
Date of creation: 2010
Date of revision:
Handle: RePEc:bca:bocadp:10-10

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Keywords: Foreign reserves management;

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