This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...

This paper explores how the need to transition to a low-carbon economy influences credit risk. It develops a novel dataset covering firms' greenhouse gas emissions over time alongside information on strategies for managing transition risk, including climate disclosure practices and...

This paper studies the implications of introducing an explicit policy objective to the management of foreign reserves at a central bank. A dynamic model is developed which links together reserves management and the exchange rate by foreign exchange interventions. The exchange rate is modelled as...

This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as...

In this paper we compare the in-sample fit and out-of-sample forecasting performance of no-arbitrage quadratic and essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated, comprising five quadratic, four affine and two...

"This book comprises the papers presented and discussed at the SAA conference, held 24-25 November 2008. It offers an exchange of views on technical and implemental issues of financial models relevant for strategic asset allocation"--Provided by publisher