Reserves and institutional asset managers have to constantly monitor and assess risk-return trade-offs in the markets where they invest. Among the various tools and indicators that they employ, understanding the balance sheet strength of commercial banks is indispensable. This is because of the...

The term structure of interest rates plays a central role in the valuation, pricing and management of interest rate dependent securities. In this paper I focus on the application of the B-Spline methodology to construct zero coupon and forward rate curves for the swap market. By allowing the...

This paper examines the one-step prediction of financial time series from a binary decision theory perspective. Under the assumption that the decision statistic of the binary hypothesis testing problem is a Gaussian random variable, bounds for the forecasting efficiency of the hypothesis testing...

This paper provides a quantitative framework for choosing the composition of reserve currencies. Assuming that the central bank's performance objectives are defined in terms of ex post returns in different currency numeraires, the currency allocation problem is formulated as a multi-objective...