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• W1837898040 abstract "This paper presents two optimisation models for the Saudi central bank, whose reserve outflows are regular and of significant amounts. The approach adopted here does not view the liquidity and investment tranches as independent in order to take into account possible shortages due to prevailing reserve outflows. Both models integrate the amount and likelihood of stochastic reserve outflows as a liability into the portfolio construction exercise. While the first model seeks to maximise the expected utility of the investment tranche, taking into account that any possible outflows would only be met with asset liquidation, the second model includes foreign borrowing as an option for the central bank to raise liquidity. As would be expected in practice, liquidation and borrowing costs are specified to grow in a non-linear way." @default.
• W1837898040 created "2016-06-24" @default.
• W1837898040 creator A5041208927 @default.
• W1837898040 date "2015-01-01" @default.
• W1837898040 modified "2023-09-27" @default.
• W1837898040 title "Asset-liability Management for Reserves under Liquidity Constraints: The Case of Saudi Arabia" @default.
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• W1837898040 doi "https://doi.org/10.1016/s2212-5671(15)01112-0" @default.
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