Francisco Rivadeneyra is a Principal Researcher in the Funds Management and Banking Department at the Bank of Canada. He is part of the team working on issues related to the management of Canada’s foreign reserves and the Federal Government debt strategy. The current focus of his research is the pricing of liquidity and its implications for portfolio decisions as well as the aggregate implications of borrowing constraints. Mr. Rivadeneyra was also an economist at the Bank of Mexico (Banxico) from 2001 to 2003. He holds a PhD in economics from the University of Chicago.
The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.Topics: Debt Management; Foreign reserves management
This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector.Topics: Credit and credit aggregates; Financial stability
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.Topics: Asset Pricing; Financial markets
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.Topics: Debt Management; Foreign reserves management