| Title |
Central bank foreign exchange reserves management model / |
| Translation of Title |
Centrinių bankų užsienio rezervų valdymo modelis. |
| Authors |
Valukonis, Mantas |
| Full Text |
|
| Pages |
54 |
| Keywords [eng] |
foreign exchange reserves ; central bank ; foreign exchange reserves asset allocation ; foreign exchange reserves investment protfolio risk management ; foreign exchange reserves management model |
| Abstract [eng] |
Foreign exchange reserves management results depend not only on proper reserves management strategy, but also are related to changes in financial markets. Low interest rate environment in finance markets determine CB duty to look for new investment instruments and invest into higher risk level investment instruments. Hence reserves management concentrates on higher yield rather than liquidity. Investing in securities with higher return results in higher CB investment portfolio risk. In consequence, new risk evaluation methods to assess and manage portfolio risk reliably are needed. Having considered the discussed problem issues of the topic the problem of the research has been formulated– how to manage CB investment portfolio, which consists of different risk level investment instruments? Two approaches to solving the problem of the research are as following: 1) Asset allocation between different risk level financial instruments – the created CB foreign exchange reserves investment portfolio formation model, which enables foreign exchange reserves distribution among different risk level investment instruments; 2) investment portfolio risk management – by creating risk management methodology, which allows to evaluate and manage debt securities portfolio risk by deviding it in to interest rate risk and credit risk. Foreign exchange reserves management model application for the investment portfolio formation has confirmed that, the proposed foreign exchange reserves model allows to invest foreign exchange reserves more effectively and assess investment portfolio risk reliably. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Summaries of doctoral thesis |
| Language |
English |
| Publication date |
2016 |
