Optimum asset mix for non-core central bank reserves

At the strategic level, the TradeRisks team has experience in working with central banks, fund managers and insurance companies on the theoretical and practical aspects of implementing liability driven benchmarks. Our liability driven benchmark analysis approach relies on the evaluation of risk-return trade-offs of alternative strategies relative to the liability stream that funds them, where the risk is defined for multiple periods and captures the uncertainty in re-investment rates. Using these models, we are able to select investment strategies in a manner that takes into account the behaviour of market price and credit spread correlations in both stable and non-stable or extreme market conditions, i.e. combining event risk with statistical risk measures.

Development of credit scoring models for government funded enterprises »