This note discusses FX reserves management as practised by emerging market economies and, more specifically, by Saudi Arabia. It shares the Saudi Arabian Monetary Authority's experience on reserve adequacy, investment objectives, philosophy and process, portfolio tranching, risk management and...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in foreign markets that are culturally similar to and geographically...

The Asset Management Industry in India consists of a vibrant and rapidly growing mutual funds sector, an insurance sector that is dominated by unit-linked insurance plans, and Venture Capital Funds, both domestic and foreign. Also Foreign Institutional Investors form a category that pool foreign...