- D. Folkerts-Landau, and Marcel Cassard
- Published Date:
- July 2000
Rick Battellino is currently Assistant Governor (Financial Markets) of the Reserve Bank of Australia. He has been in this position since 1994. His responsibilities are to oversee the Reserve Bank’s operations in domestic and foreign exchange markets—including implementation of domestic monetary policy, foreign exchange intervention, and management of international reserves. Mr. Battellino has been employed by the Reserve Bank since graduating from university in 1973. During this time, he has occupied a number of positions in the Economics and Financial Markets areas of the Bank. Immediately prior to his current position, he was Head of the International Department.
Marcel Cassard is Chief Economist for Emerging Europe, Middle East and Africa for Deutsche Bank. Before joining Deutsche Bank, Marcel spent five years as an economist at the International Monetary Fund, in the International Capital Markets Division of the Research Department. Prior to that, he was an International Economist at the Council of Economic Advisers in Washington and a Consultant at the Organization for Economic Cooperation and Development (OECD) in Paris. He earned a B.A. in Economics and Mathematics from Washington University, St. Louis, in 1984 and a Ph.D. in Economics from Columbia University in 1993. Marcel has written various articles and working papers in the field of international economics and sovereign debt management.
Patrick de Fontenay is a former Director of the IMF Institute and Chairman of the Investment Committee of the IMF Staff Retirement Plan. Mr. de Fontenay has a Ph.D. from Yale University and LI.D from the University of Paris. He is a citizen of France.
Louis de Montpellier was most recently General Advisor of the Treasury of the Kingdom of Belgium. As a member of the Treasury management team, he focused on the development of the Kingdom’s funding strategy and debt management in the domestic and international markets. Before this, he was Director of Funding of the European Bank for Reconstruction and Development in London for four years. He joined the EBRD from CS First Boston in London where he was a capital market/covering officer for Belgian and French institutional clients. Previously, he worked as an institutional portfolio manager for central banks with the Bank for International Settlements in Basle. Mr. de Montpellier holds a Master in Law from the Catholic University of Leuven, a Master in Economics from the Catholic University of Louvain, and a MBA from the Johnson Graduate School of Management, Cornell University.
Michael Dooley is a Professor of Economics at the University of California, Santa Cruz. He is also a Research Associate at the NBER and an editor of the International Journal of Finance and Economics. He served on the staff of the Federal Reserve Board during 1971-82 and, the Research Department of the International Monetary Fund, during 1982-92. His research deals with exchange rate determination, international capital movements, capital controls, debt management policy, and issues associated with sovereign debt.
David Folkerts-Landau is Managing Director and Global Head of Research at Deutsche Bank. Before joining the private sector in October 1999, Mr. Folkerts-Landau was Assistant Director in the IMF’s Research Department in charge of international capital markets surveillance. He earned a B.A. from Harvard University in 1973 and a Ph.D. in Economics from Princeton University in 1977. Mr. Folkerts-Landau taught economics at the Graduate School of Business of the University of Chicago before joining the IMF’s Research Department in 1980. He is the author of several books and articles on financial economics.
Francis Glenister is a Managing Director of Salomon Smith Barney and Head of Fixed Income Research in Europe. Mr. Glenister has worked extensively with both clients of Salomon Smith Barney and the firm’s trading desks on risk management and related portfolio management issues. Mr. Glenister joined the firm in 1983 after earning an MBA from Manchester Business School and an MA in Natural Sciences from Cambridge University.
Erol Hakanoglu heads the Strategic Risk Management Advisory Group, which he founded at Goldman Sachs. The group assists corporate and sovereign clients in determining and managing their overall exposure to movements in interest rates, exchange rates, and commodity prices, as well as their significant operational exposures using state-of-the-art quantitative models. The group also specializes in creating optimal hedging strategies to minimize aggregated risk at the lowest possible cost. Previously, at Goldman Sachs, he worked with the late Fischer Black on options valuation and term structure of interest rates. Prior to joining the firm, Dr. Hakanoglu taught at Harvard, where he received his Ph.D.
Ib Hansen is the Head of Department, Financial Markets Department, at the Danmarks National Bank.
Philippe Jorion is Professor of Finance at the Graduate School of Management at the University of California at Irvine. He has also taught at Columbia University, Northwestern University, the University of Chicago, and the University of British Columbia. He has authored more than fifty publications for academics and practitioners on the topics of risk management and international finance. His recent work addresses the issue of forecasting risk and return in global financial markets, as well as managing exchange rate risk with derivative instruments.
Thomas E. Klaffky is a Managing Director of Salomon Smith Barney and Head of Global Fixed Income Research. Prior to being named to his current position in 1995, Mr. Klaffky was the head of the Bond Portfolio Analysis Group, the quantitative arm of Fixed Income Research. Mr. Klaffky joined the firm in 1976 after receiving a B.A. in Economics from C.W. Post College in 1975 and an MBA in Finance from New York University in 1976. Mr. Klaffky is the author of several research publications covering such topics as risk management, portfolio strategy, zero coupon bonds, and fixed income benchmarks.
Gregory D. Makoff is currently a member of the International Liability Management group at Salomon Smith Barney. He has worked for Salomon since 1993, specializing in the structuring and execution of liability management transactions for sovereigns and corporations. He earned a B.S. in Physics and a B.S. in Political Science from the Massachusetts Institute of Technology in 1986 and a Ph.D. in Physics from the University of Chicago in 1993.
Judith B. Otterman is a Vice President in the Research Department at Salomon Smith Barney, where she focuses on structuring and analyzing fixed-income portfolios. Prior to this, she was the Head of the Income Indexes Group. Ms. Otterman joined the firm in 1986 after graduating from UCLA with a BS in Mathematics.
John Nugée is currently the Chief Manager in charge of Reserves Management at the Bank of England. He started his career at the Bank of England in 1977. After spells in economic and statistical research and computer programming, he moved in 1986 to the Bank’s Foreign Exchange Division. Here he held a variety of portfolio management and strategic investment management positions, culminating in the post of Trading Manager for the UK’s Foreign Currency Reserves in 1990-91. From 1992 to late 1996, Mr. Nugée worked in Hong Kong, where he was the Executive Director in charge of Reserves Management at the Hong Kong Monetary Authority. He returned to the Bank of England in 1996 to take up his current post.
Alejandro M. Pilato is Managing Director of Tokai Bank Europe plc and Tokai Capital Markets, responsible for risk advisory, client derivatives and primary markets. He was previously a Director at HSBC Markets (1994-96) responsible for risk management advisory services. Before joining HSBC, he was Vice President at JP Morgan (1987-94), responsible for the portfolio groups providing advice to corporate and sovereign clients on strategic risk management, debt optimization and asset allocation. Dr. Pilato joined JP Morgan’s quantitative research department in 1987. He was awarded a BSc degree in Theoretical Physics from the University of London in 1982 and a D.Phil degree in Mathematics from Oxford University in 1986. Dr. Pilato is a Fellow of the Institute of Mathematics and its Applications and has published a number of mathematics papers in scientific journals.
Bengt Rådstam is Deputy Director and Head of Portfolio Management and Analysis at the Swedish National Debt Office. He has described how the foreign currency debt is managed in a recent Euromoney publication, Excellence in Debt Management: The Strategies of Leading International Borrowers (see chapter 6). His previous experience includes positions as University Lecturer in Economics at the University of Uppsala (1968-74) and as Chief International Economist at the National Institute of Economic Research (1974-80). He has also held numerous public and private sector positions and is currently a member of the Finance Committee of the City of Stockholm and an external advisor to the Scandinavian Airlines System (SAS).
Jean-Francois Rigaudy is Deputy Head of the Treasury at the Bank for International Settlements in Basle, where he has worked since 1988. Before that he worked in the International Department at the Banque de France where he contributed to the management of foreign exchange reserves. At the beginning of his career at the Banque de France he was involved in banking supervision. Mr. Rigaudy holds degrees in law and history and has a diploma from the Institut d’Etudes Politiques de Paris, where he also lectured from 1984-88.
Paul Sullivan is Director of Strategy and Risk Management at the National Treasury Management Agency (NTMA) in Ireland. Prior to joining the NTMA early in 1991, at the time of its establishment, he was a Vice President of Chase Manhattan Bank, holding a number of senior international management positions in the Middle East, London, and New York. He spent almost fourteen years with Chase (1977 to 1991) and his responsibilities at the Bank included the management of all international domestic currency funding, treasury liability management, and the management of the Bank’s Continental European treasury, foreign exchange, and capital markets activity. Prior to joining Chase Manhattan he had worked in Dublin with the Central Bank of Ireland and the Industrial Credit Company. Mr. Sullivan holds degrees in economics from both University College Dublin and Trinity College as well as a degree in Finance, also from University College Dublin. He has written a paper on Ireland’s debt management included in Excellence in Debt Management: The Strategies of Leading International Borrowers, published by Euromoney.
Graeme Paul Wheeler is the Director of the Financial Products and Services Department in the Treasury of the World Bank. For four years before joining the Bank, he was the Treasurer of the New Zealand Debt Management Office (NZDMO) and Deputy Secretary to the New Zealand Treasury. Prior to this, he was Director of Macroeconomic Policy and Forecasting in the New Zealand Treasury. In the second half of the 1980s, Mr. Wheeler was the Economic Counselor for the New Zealand Delegation to the Organization for Economic Cooperation and Development (OECD) in Paris and he headed the New Zealand delegation in meetings that led to the establishment of the European Bank for Reconstruction and Development (EBRD). He joined the New Zealand Treasury in 1973.
This volume gathers together papers presented at a conference held in Hong Kong SAR entitled Sovereign Assets and Liabilities Management. The conference was hosted by the International Monetary Fund and the Hong Kong Monetary Authority; it focused on a wide range of issues confronting policymakers in managing their sovereign assets and liabilities in a world of mobile capital and integrated capital markets. These include the following:
Public debt management strategy:
Central bank reserves management:
Technical and quantitative aspects of risk management; and
Credit costs and borrowing capacity in debt optimization.
The book also describes the experience of various countries in managing their sovereign assets and liabilities. The papers draw on the experiences of policymakers and private sector participants that have been actively involved in formulating and implementing debt and reserves policy. The policy choices are discussed against the background of alternative theoretical frameworks presented by a number of academics.
Sovereign Assets and Liabilities Management