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Copulas and Risk Measures for Strategic Asset Allocation: A Case Study for Central Banks and Sovereign Wealth Funds

In: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Author

Listed:
  • Cyril Caillault
  • Stéphane Monier

Abstract

Between 1995 and 2008, global total official reserves, excluding gold, grew from $1.3 trillion to $6.0 trillion. Growth has been particularly strong since 2002. The bulk of the increase took place in emerging economies, whereas the reserves of the G-10 countries excluding Japan have remained stable. Foreign exchange market interventions, on the other hand, have declined substantially in developed economies. In Table 8.1, we present estimates of the reserves of various central banks.

Suggested Citation

  • Cyril Caillault & Stéphane Monier, 2010. "Copulas and Risk Measures for Strategic Asset Allocation: A Case Study for Central Banks and Sovereign Wealth Funds," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 8, pages 158-177, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-25129-8_8
    DOI: 10.1057/9780230251298_8
    as

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