May 16, 2013
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14
result(s)
A Model of the EFA Liabilities
Staff 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.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Foreign reserves management
JEL Code(s):
G,
G1,
G12,
G3,
G32
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