Yuliya Romanyuk

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

Staff 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.
Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Foreign reserves management JEL Code(s): G, G1, G11

Asset-Liability Management: An Overview

Staff 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).
Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Foreign reserves management JEL Code(s): G, G1, G11

Combining Canadian Interest-Rate Forecasts

Staff Working Paper 2008-34 David Bolder, Yuliya Romanyuk
Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?"

Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets

Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk
The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12

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