外汇储备的风险管理战略分析框架【外文翻译】.doc

外文翻译 原文 Strategic foreign reserves risk management: Analytical Framework Material Source:Ann Oper Res (2007) 152:79–113 Aurhor:Stiji Claessens · Jerome Kreuser Abstract: We present an analytical framework for active foreign exchange reserves management that integrates risk-return objectives with macroeconomic, macro-prudential and sovereign debt management concerns. Our framework allows for very general objective functions, does not restrict the class of eligible stochastic processes or limit the investment universe, and can incorporate many types of macroeconomic concerns. It incorporates several kinds of risk constraints in order to obtain benchmarks satisfying possible central bank requirements of safety, liquidity, returns, and stability. Feedback between outcomes and decisions is easy using tools that reshape distributions and functions of the outcomes. And the model can be run on a PC-based platform. We apply the framework to several common reserves management problems focusing especially on the formulation of model equations, generation of trees and estimation of density functions of out comes. We compare our approach to those used by many central banks and discuss advantages to our approach. Key words: Reserves management;ALM Asset;liability. Dynamic stochastic optimization Central bank foreign exchange reserves risk management concerns balancing many objectives and issues, from broad macro-economy policy objectives, such as monetary policy and foreign exchange management, to micro-aspects, such as the definition of portfolio benchmarks and the evaluation of investment managers. Furthermore, constraints arising from legal,human resources, asset markets, institutional and other aspects affect the actual achievability and implementation of reserves management objectives. While the macro-economic aspects of reserves management have been much analyzed, they continue to drawattention, especially the relationship between financial crises and reserves and