Joint BIS/ECB/World Bank Conference on Strategic Asset Allocation for Central Banks and Sovereign Wealth Managers - Conference announcement and call for papers
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.
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.
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:
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
mb-RMASec@ecb.int, marie-clair.williams@ecb.int
Inquiries about the conference may be directed to:
Ken Nyholm, ken.nyholm@ecb.in
Arjan Berkelaar, aberkelaar@worldbank.org
Joachim Coche, joachim.coche@bis.org