David Jamieson Bolder

David Bolder joined the BIS in 2008. He provides analytic support to the Bank's Treasury and Asset-Management functions. He has previously worked in quantitative roles at the Bank of Canada, the World Bank Treasury, and the European Bank for Reconstruction and Development. He has authored a number of papers, articles, and chapters in books on financial modelling, stochastic simulation, and optimization. His work principally involves the application of mathematical techniques towards improving our understanding and decision-making with respect to practical challenges such as the determination of government debt and reserve-management strategies. He holds Master's degrees in Business Administration and Mathematics from the University of British Columbia and the University of Waterloo, respectively.

Fields of interest

• Econometrics
• Financial Modelling
• Mathematical Methods

Selected Publications

• "Combining Canadian Interest-Rate Forecasts". 2010. In: Interest Rate Models, Asset Allocation, and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, Palgrave Macmillan, Chapter 1, pp 3-30 (with Yuliya Romanyuk)
• "Liability Management with Inflation-Linked Products", 2008, In: Inflation Risks and Products: The Complete Guide, Riskbooks, Chapter 20, pp 535-563, (with Myrvin Anthony, Arnaud Marès and Nicolas Sagnes)
• "The Canadian Debt-Strategy Model: An Overview of the Principal Elements", 2011, Bank of Canada Discussion Paper 2011-3 (with Simon Deeley)
• "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis", 2007, Bank of Canada Working Paper 2007-13 (with Tiago Rubin)
• "Model Term-Structure Dynamics for Risk Management: A Practitioner's Perspective", 2006, Bank of Canada Working Paper 2006-48
• "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada", 2002, Bank of Canada Working Paper 2002-29 (with Scott Gusba)