Yuliya Romanyuk - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T12:23:20+00:00Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves
https://www.bankofcanada.ca/2010/09/discussion-paper-2010-13/
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.2010-09-21T14:25:10+00:00enLiquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves2010-09-21Foreign reserves managementDiscussion paper 2010-13 https://www.bankofcanada.ca/wp-content/uploads/2010/09/dp10-13.pdfLiquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign ReservesYuliya RomanyukSeptember 2010GG1G11Asset-Liability Management: An Overview
https://www.bankofcanada.ca/2010/08/discussion-paper-2010-10/
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).2010-08-04T07:43:32+00:00enAsset-Liability Management: An Overview2010-08-04Foreign reserves managementDiscussion Paper 2010-10https://www.bankofcanada.ca/wp-content/uploads/2010/08/dp10-10.pdfAsset-Liability Management: An OverviewYuliya RomanyukAugust 2010GG1G11Combining Canadian Interest-Rate Forecasts
https://www.bankofcanada.ca/2008/09/working-paper-2008-34/
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?"2008-09-28T13:07:30+00:00enCombining Canadian Interest-Rate Forecasts2008-09-28Econometric and statistical methodsInterest ratesWorking Paper 2008-34 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-34.pdfCombining Canadian Interest-Rate ForecastsDavid BolderYuliya RomanyukSeptember 2008CC1C11EE4E43E47Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
https://www.bankofcanada.ca/2006/11/working-paper-2006-43/
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.2006-11-04T15:45:09+00:00enEfficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets2006-11-04Financial marketsWorking Paper 2006-43 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-43.pdfEfficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky AssetsAlexander MelnikovYuliya RomanyukNovember 2006DD8D81GG1G10G12