Strategic Investment and Risk Management For Sovereign Wealth Funds

Central Bank Reserves and Sovereign wealth Management, Edited by Arjan Bastiaan Berkelaar, Arjan B. Bekelaar, Joachim Coche, and Ken Nyholm, Palgrave Macmillian, Dec., 2009.

46 Pages Posted: 30 Nov 2017

See all articles by Stijn Claessens

Stijn Claessens

Bank for International Settlements (BIS)

Jerome L Kreuser

ETH Zurich

Date Written: December 5, 2008

Abstract

We present an analytical framework for active strategic risk management for sovereign wealth funds (SWFs). This paper extends our previous work on foreign exchange reserves management that integrates risk-return objectives with macroeconomic, macro-prudential and sovereign debt management concerns. In this paper we allow for the integration of very general objectives and multiple kinds of risk that are specific to SWFs and that need to be managed simultaneously. We apply this framework to stabilization funds, national pension funds, endowment funds, and development funds focusing especially on the formulation of model equations, the estimation of density functions of outcomes, and the utilization of results. We compare our approach to others and discuss the advantages.

Keywords: Sovereign Wealth Funds, ALM, asset/liability, dynamic stochastic optimization, asset/liability allocation

JEL Classification: C61, G11

Suggested Citation

Claessens, Stijn and Kreuser, Jerome L, Strategic Investment and Risk Management For Sovereign Wealth Funds (December 5, 2008). Central Bank Reserves and Sovereign wealth Management, Edited by Arjan Bastiaan Berkelaar, Arjan B. Bekelaar, Joachim Coche, and Ken Nyholm, Palgrave Macmillian, Dec., 2009.. Available at SSRN: https://ssrn.com/abstract=3077626

Stijn Claessens

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

Jerome L Kreuser (Contact Author)

ETH Zurich ( email )

Rämistrasse 101
ZUE F7
Zürich, 8092
Switzerland

Register to save articles to
your library

Register

Paper statistics

Downloads
35
Abstract Views
188
PlumX Metrics