Posted 4/28/08
CONFERENCE ANNOUNCEMENT AND CALL FOR PAPERS
JOINT BIS/ECB/WORLD BANK CONFERENCE ON
STRATEGIC ASSET ALLOCATION FOR CENTRAL BANKS
AND SOVEREIGN WEALTH MANAGERS
It is generally accepted, among practitioners and
academics, that Strategic Asset Allocation (SAA) is the
main driver of the risk and return profile of any
investment portfolio. Academics have, historically, focused
a lot of their attention on SAA for pension funds and
endowment funds. SAA for public institutions, on the other
hand, appears to be somewhat neglected. Against this
background, the Bank for International Settlements, the
World Bank, and the European Central Bank are co-organizing
a conference on Strategic Asset Allocation for Central
Banks and Sovereign Wealth Managers.
The conference is targeted at quantitative experts from the
community of central banks and sovereign wealth managers
(including commodity savings funds and sovereign pension
funds) as well as academics. It aims at fostering the
development and dissemination of 'best practices' in the
area of strategic asset allocation, facilitating knowledge
sharing across organisations, and encouraging collaboration
and an on-going dialogue between reserves and asset
management specialists of the participating organisations.
The event takes place at the European Central Bank,
Frankfurt, Germany on 24 and 25 November 2008.
TOPICS:
The organisers particularly encourage submissions of papers
in the following areas:
Theory and Techniques
- Monte Carlo simulation techniques for modelling and
simulating asset returns
- Use of contingent claim analysis in balance sheet risk
management
- Innovations in portfolio optimization techniques
- Methods and techniques used in setting expected return
assumptions, including fixed income instruments
Implementation and Practical Challenges
- Strategic asset allocation process used within
participant's own organizations
- Risk measures to support the strategic asset allocation
- Asset & liability management at central banks and
sovereign wealth managers
- Modelling alternative asset classes such as hedge funds
and private equity
- Determining the optimal currency composition
Submissions in other areas will be considered as well.
PAPER SUBMISSION PROCEDURE:
Complete papers should be submitted (extended abstracts
will also be considered) in electronic format by the end of
August 2008. All papers will be reviewed by the
conference's organizing committee and authors of selected
papers will be informed by end-September 2008. In this
process, the organisers aim at a balanced representation of
the above listed topics. Selection of the papers will be
based, among other things, on quality and relevance to the
conference. Authors are encouraged to contact one of three
coordinators to discuss the scope and focus of possible
contributions. Also a style guide is available on request.
Final versions of the selected papers are due by end-
October 2008. All accepted papers will be published in the
conference proceedings.
Please send your submission, short curriculum-vitae, postal
address, phone and fax numbers, and email address to:
CONTACT: Ms Marie-Clair Williams
European Central Bank
Kaiserstrasse 29
D-60311 Frankfurt am Main, Germany
Tel: +49 69 1344 6399
Fax: +49 69 1344 6231
Email: MAILTO:mb-RMASec@ecb.int
Email: MAILTO:marie-clair.williams@ecb.int
Inquiries about the conference may be directed to:
CONTACT: Ken Nyholm
Email: MAILTO:ken.nyholm@ecb.in
CONTACT: Arjan Berkelaar
Email: MAILTO:aberkelaar@worldbank.org
CONTACT: Joachim Coche
Email: MAILTO:joachim.coche@bis.org
Copyright © Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use