Title Page


Proceedings of a conference held in Hong Kong SAR


© 2000 International Monetary Fund

Cover design: Massoud Etemadi

Figures: Theodore F. Peters, Jr.

Composition: Julio R. Prego

IMF Graphics Section

Cataloging-in-Publication Data

Sovereign assets and liabilities management / introd. by Marcel Cassard.—Washington, D.C.: International Monetary Fund, 2000

p. cm.

Papers presented at a conference hosted by the International Monetary Fund and Hong Kong Monetary Authority, held in Hong Kong, November 1996.

Includes bibliographical references

ISBN 9781557756947

1. Asset-liability management—Congresses. 2. Risk management—Congresses. 3. Debts, External—Congresses. 4. Debts, Public—Congresses. 5. Banks and banking, Central—Congresses. 6. Foreign exchange—Congresses I. Cassard, Marcel. II. International Monetary Fund. III. Hong Kong Monetary Authority.

HC1615.25.S69 2000

Price: US$26.00

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  • Acknowledgments

    • 1 Introduction

      • Marcel Cassard

    • 2 Management of Sovereign Assets and Liabilities

      • Marcel Cassard and David Folkerts-Landau

    • 3 Debt and Asset Management and Financial Crises: Sellers Beware

      • Michael P. Dooley

      • Comments by Philippe Jorion

    • 4 Foreign Currency Liabilities in Debt Management

      • Patrick de Fontenay and Philippe Jorion

      • Comments by Gregory Makoff

    • 5 Sovereign Liability Management: An Irish Perspective

      • Paul Sullivan

    • 6 Management of Risks in Foreign Currency Funding and Debt Management

      • Bengt Rådstam

    • 7 Autonomous Sovereign Debt Management Experience

      • Graeme Wheeler

    • 8 Public Debt Management Strategy: Belgium’s Experience

      • Louis de Montpellier

    • 9 Central Bank Reserves Management

      • John Nugée

    • 10 Trends in Central Bank Reserves Management

      • Jean-François Rigaudy

    • 11 Reserves Management Operations in Australia

      • Rick Battellino

    • 12 Foreign Borrowing by the Kingdom of Denmark

      • Ib Hansen

    • 13 Credit Costs and Borrowing Capacity in Debt Optimization

      • Alejandro M. Pilato

    • 14 Risk Management Process for Central Banks

      • Thomas E. Klaffky, Francis D. Glenister, and Judith B. Otterman

    • 15 Technical and Quantitative Aspects of Risk Management

      • Erol Hakanoglu

  • Notes on Contributors

The following symbols have been used throughout this book:

… to indicate that data are not available;

— to indicate that the figure is zero or less than half the final digit shown, or that the item does not exist;

– between years or months (for example, 1991-92 or January-June) to indicate the years or months covered, including the beginning and ending years or months;

/ between years or months (for example, 1991/92) to indicate a crop or fiscal (financial) year.

“Billion” means a thousand million; “trillion” means a thousand billion.

Minor discrepancies between constituent figures and totals are due to rounding.

The term “country,” as used in this book, does not in all cases refer to a territorial entity that is a state as understood by international law and practice; the term also covers some territorial entities that are not states, but for which statistical data are maintained and provided internationally on a separate and independent basis.


The success of this seminar volume is owed to the authors of the papers and to the distinguished outside experts who participated in the discussions. In addition, a large number of people made invaluable contributions to this book. Most notably Sheila Kinsella, of the Research Department, gave outstanding and much needed secretarial assistance during the entire production process. Martha Bonilla, of the External Relations Department, provided excellent editorial services, shepherding the work through the production process. At an earlier stage, Jeff Gable provided first rate research assistance.

The opinions expressed in this volume are those of the authors and do not necessarily reflect the views of the IMF, its Executive Directors, or any other policymaking institutions.