Topic: Foreign reserves management

1. Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

   Bank of Canada Review Article: Bank of Canada Review - Spring 2013 - Francisco Rivadeneyra, Jianjian Jin, Narayan Bulusu, Lukasz Pomorski

   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

2. A Model of the EFA Liabilities

   Discussion Paper 2011-11 - Francisco Rivadeneyra, Oumar Dissou

   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

3. Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves

   Discussion Paper 2010-13 - Yuliya Romanyuk

   An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon.

   Topics: Foreign reserves management

4. Asset-Liability Management: An Overview

   Discussion Paper 2010-10 - Yuliya Romanyuk

   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).

   Topics: Foreign reserves management