外汇储备的风险管理战略分析框架【外文翻译】

《外汇储备的风险管理战略分析框架【外文翻译】》由会员上传分享，免费在线阅读，更多相关内容在应用文档-天天文库。

1、外文翻译原文Strategicforeignreservesriskmanagement:AnalyticalFrameworkMaterialSource:AnnOperRes(2007)152:79–113Aurhor:StijiClaessens·JeromeKreuserAbstract:Wepresentananalyticalframeworkforactiveforeignexchangereservesmanagementthatintegratesrisk-returnobjectiveswithmacroeconomic,macro-pru

2、dentialandsovereigndebtmanagementconcerns.Ourframeworkallowsforverygeneralobjectivefunctions,doesnotrestricttheclassofeligiblestochasticprocessesorlimittheinvestmentuniverse,andcanincorporatemanytypesofmacroeconomicconcerns.Itincorporatesseveralkindsofriskconstraintsinordertoobtainb

3、enchmarkssatisfyingpossiblecentralbankrequirementsofsafety,liquidity,returns,andstability.Feedbackbetweenoutcomesanddecisionsiseasyusingtoolsthatreshapedistributionsandfunctionsoftheoutcomes.AndthemodelcanberunonaPC-basedplatform.Weapplytheframeworktoseveralcommonreservesmanagementp

4、roblemsfocusingespeciallyontheformulationofmodelequations,generationoftreesandestimationofdensityfunctionsofoutcomes.Wecompareourapproachtothoseusedbymanycentralbanksanddiscussadvantagestoourapproach.Keywords:Reservesmanagement;ALMAsset;liability.DynamicstochasticoptimizationCentral

5、bankforeignexchangereservesriskmanagementconcernsbalancingmanyobjectivesandissues,frombroadmacro-economypolicyobjectives,suchasmonetarypolicyandforeignexchangemanagement,tomicro-aspects,suchasthedefinitionofportfoliobenchmarksandtheevaluationofinvestmentmanagers.Furthermore,constrai

6、ntsarisingfromlegal,humanresources,assetmarkets,institutionalandotheraspectsaffecttheactualachievabilityandimplementationofreservesmanagementobjectives.Whilethemacro-economicaspectsofreservesmanagementhavebeenmuchanalyzed,theycontinuetodrawattention,especiallytherelationshipbetweenf

7、inancialcrisesandreservesanddebtmanagement.Manycrisesinthelastdecadehaveunderscoredrelationshipsbetweenforeignexchangereservesandpublicdebtmanagementandhighlightedhowprivatedebtmanagementcanexacerbateeconomicorfinancialshocks.Themicro-aspectsofimprovingreservesmanagementhavealsorece

8、ivedmuchmoreattenti