Topic: Foreign reserves management

1. 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.

   Topic: Debt Management; Foreign reserves management

2. 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.

   Topic: Foreign reserves management

3. 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).

   Topic: Foreign reserves management