XIII Meeting on International Reserves Management

Lima, Perú, September 11–13, 2019


Public-private dialogue on foreign reserves management

Welcome remarks
Renzo Rossini, Gerente General, Banco Central de Reserva del Perú
Santiago García Verdú, Adviser to the Director General, CEMLA

International context for reserves management
This session was devoted to highlight the current international issues related to asset management. Topics in this session was include, the U.S. economy, emerging market economies, market-moving news, and geopolitical challenges.

Moderator: Santiago García Verdú, CEMLA
James Law, UBS Asset Management
Monica Defend, Amundi Asset Management

International context for reserves management (continued)
Moderator:  Santiago García Verdú, CEMLA
Marina Chernyak, BNP Paribas Asset Management
Elissar Boujaoude, HSBC Asset Management

Key industry developments
In this session, industry asset managers briefed the region´s central bankers on key market developments, delineating potential investment portfolio and instruments choices for reserves management.

Moderator: Jefferson Carbajal, Banco Central de Reserva del Perú
Arnab Das, Invesco
Ludwig Mareck, BlackRock

Key industry developments (continued)
Moderator: Zarella López, Banco Central de Reserva del Perú
Andrew Wittkop, PIMCO
Michael Albrecht, JP Morgan
Kurtulus Taskale Diamondopoulos, World Gold Council


Key issues for central banks’ management of foreign reserves
(central banks and official institutions only)

Decision making process and active management in an uncertain environment
This session focused on how central banks are managing their investment portfolios in an uncertain international context. Focus was on how reserve managers are dealing with global shocks.

Moderator: Raúl Morales Reséndiz, CEMLA
Marylin Choy, Banco Central de Reserva del Perú
Juan Carlos Piantini, Banco Central de Chile

Decision making process and active management in an uncertain environment (continued)
Moderator:  Raúl Morales Reséndiz, CEMLA
Emilio Rodríguez, Banco de España

Risk and data management issues
This session provided an opportunity for reserve managers to learn about experiences on how risk management and data have been used as key inputs for decision making and investment portfolio allocation.

Moderator: Alberto Zapata, Banco Central de Reserva del Perú
Jeff Moore, Banco de la Reserva Federal de Nueva York 
Omar Santivañez, Banco Central de Reserva del Perú

Risk and data management issues (continued)
Moderator: Guillermo Alarcón, Banco Central de Reserva del Perú
Rosana González, Banco Central del Uruguay

New trends in strategic asset allocation models
This session was devoted to exchange recent and relevant experiences from reserve managers on how their strategic asset allocation models are being shaped, and how this is reflected in their investment decisions.

Moderator:  Raúl Morales Reséndiz, CEMLA
Gerardo García, Banco de México
Jorge Patrón, Banco Central de Reserva del Perú

New trends in strategic asset allocation models (continued)
Moderator:  Raúl Morales Reséndiz, CEMLA
Diego Cifuentes, Banco de la República (Colombia)
Pablo Orazi, Banco Central de la República Argentina

Other key developments in asset management
This session was focused on fostering the exchange of experiences from central banks and guest official institutions on how the reserves management function is being transformed and what challenges may be coming.

Moderator: Sandra Mansilla, Banco Central de Reserva del Perú
Marco Ruiz, World Bank
Vahe Sahakyan, BIS

Policy roundtable on the future of foreign reserves at central banks

Closing remarks by CEMLA and BCRP

The Meeting on International Reserve Management have been organized since 1998 as a continuation of two seminars on the subject that had been carried out sporadically, to integrate into the CEMLA´s program the systematic approach of one of the central bank's critical functions. At that occasion, several methodologies and tools for the management of international reserves were analyzed, as well as the expected behavior of the markets for alternative investments and the relationship with funds managers.

The meetings have greatly benefited from the participation of the associated central banks and collaborators of CEMLA, Asian central banks, multilateral organizations (BIS, IMF and World Bank) and regional organizations (FLAR and SECMCA), as well as the technical collaboration of several advisers and financial companies involved in the management of international reserves: JP Morgan, Fischer, Francis, Trees & Watts, Inc, Risk Metrics Group, BBVA, Lehman Brothers, Bloomberg, State Street Global Advisors Limited, Goldman Sachs Asset Management, UBS Asset Management, Barclays Global Investors (BGI), HSBC, Morgan Keegan, Western Asset Management Co, CME Group, BNP Paribas Asset Management, HSBC, PIMCO, Amundi Asset Management and BlackRock.

James Law, UBS Management – Head of US Enhanced Cash and Short Duration Managing Director
Jim is responsible for the U.S. enhanced cash and short duration fixed income portfolios. He has led this group for 11 years, has been with the firm for 20 years and has 33 years of investment industry experience. His primary responsibilities are oversight of the group, portfolio strategy and risk budgeting to generate alpha, portfolio management, capital market analysis, client presentations, and business development.
Prior to joining the firm in 1999, James managed a USD 1.5 billion enhanced cash strategy in the pension trust division of Ameritech Corporation in Chicago, along with US/non-US fixed income allocation responsibilities totaling USD 3 billion. In addition, he managed a USD 1 billion arbitrage bond portfolio along with treasury market-making responsibilities in the 10-30 year sector for a large bank.
James is the head of the US Short Duration Strategy Group and a member of the Americas Fixed Income Management Committee. He is a member of the CFA Institute and the CFA Society of Chicago.

Monica Defend, Chief Strategist, Deputy Head of Group Research and Macro Strategy at Amundi
Monica, is currently Deputy Head of Group Research and member of the Global Investment Committee, contributes to the definition of Amundi’s investments strategy on financial markets.
The Strategy team relies on a strong quantitative approach: it analyses the trends and fluctuations of financial markets in order to define short-, mediumand long-term forecasts, highlighting the main investment themes. A distinctive feature of the Strategy team is the tight collaboration with the investment platforms for the generation of integrated investment ideas.
After being a University assistant for the Advanced Econometrics department, Monica started her carrier in the investmentA industry in 1997. Prior to her current role, she was Global Head of Asset Allocation Research and previously, Head of Quantitative Research at Pioneer Investments.
Monica graduated with full marks at Bocconi University. She holds Master’s degrees in Economics and Financial Economics from the London Business School and Bocconi University. Furthermore, she was selected for the UniCredit Young Talents Program, obtaining afterwards an MBA degree at the London Business School.

Marina Chernyak, BNP Paribas Asset Management
Marina Chernyak is an Emerging Markets Economist at BNP Paribas Asset Management. Marina is responsible for analysis and forecasting macroeconomic developments in emerging markets, supporting the Emerging Markets Fixed Income team.
Marina joined the firm in October 2017 and is based in London. Marina started her career at Moore Capital Management in New York in 2008 as a research analyst for the US economy for three years before moving to Moore Europe Capital Management in London for six years, where she was responsible for research of Central/Eastern-European and Non-Japan Asian Emerging Markets.
Marina received her B. A. in Mathematical Economics and International Development Summa Cum Laude from the City University of New York.

Elissar Boujaode, HSBC – Head of Coverage for Central Banks and Public Pensions in the Americas
Joined HSBC Global Banking and Markets in April 2013, bringing over 25 years industry experience in Securities Markets, Investment Management and Banking.  She is currently Head of Coverage for Central Banks and Public Pensions in the Americas acting as a focal point to bring HSBC Group’s products globally to the Americas’ Asset Owners.
Prior to HSBC, over the course of 13 years, Elissar held senior roles in the Investment management Industry in Fixed Income Research, Asset Allocation and Product Management at firms such as TCW, PIMCO and AXA Investment Management. In the Securities Industry, Elissar worked as a Fixed Income publishing analyst at Goldman Sachs and Lehman Brother in New York and London from 1990 through 1999 covering the Financial Sector and Sovereigns. Prior to her securities research career, Elissar worked for three years in commercial banking, in Boston Massachusetts, including the completion of a formal credit training program with a focus on distressed debt sovereigns.  Miss Boujaoude earned a Bachelor of Science in Business Administration from the University of Massachusetts (1987 Summa Cum Laude). She has also completed an Executive Seminar in Investment Decisions and Behavioural Finance from the Harvard Kennedy School.

Arnab Das, Invesco, Global Market Strategist and Invesco’s Head of EMEA thought leadership team
Arnab Das is Global Market Strategist in the EMEA region, based in London, and a member of Invesco’s Global Thought Leadership team. He helps develop and communicate analysis and insight on the global economy and financial markets across asset classes for clients, media, governments and central banks. He works with Invesco’s investment teams across disciplines and regions and is a member of Invesco’s Global Investor Forum Advisory Council with a focus on global macro and emerging markets. Arnab’s research interests span economic policy, performance and reform; and economic and financial history.
Arnab joined Invesco in 2015 as Head of EM macro research for Invesco Fixed Income. He began his career in finance in 1992, and has served as Co-head of Economic Research & Strategy at Roubini Global Economics; Co-head of Global Economics & Strategy, Head of Global FX Research, and Head of EM Economics & Strategy at Dresdner Kleinwort; and Head of EEMEA Research at JP Morgan. He has also been a private consultant in global and emerging markets, as well as consulting with Trusted Sources, a specialist EM research boutique.
Arnab’s studies were in macroeconomics, economic history and international political economy. He received an AB from Princeton University in 1986 and completed his postgraduate and doctoral work at the London School of Economics in 1987-1992.

Ludwig Marek, BlackRock
Managing Director, is Head of USD Short Duration Product Strategy and a senior member of the Multi-Sector Fixed Income Product Strategy Team within BlackRock's Global Fixed Income group. Based in New York, he is dedicated to the firm's USD short duration investment capabilities and product offering. Mr. Marek joined BlackRock in 2013 and is responsible for the expansion of the USD Short Duration business both in product range and global footprint, which helped broaden the platform's investor base both domestically and across EMEA, Latin America and Asia.
Prior to joining BlackRock, Mr. Marek was Vice President of Fixed Income Product Management at Citigroup's hedge fund Citi Capital Advisors (CCA). Before joining CCA in 2011, Mr. Marek was the Lead Marketing Strategist at Goldman Sachs Asset Management (GSAM) for all fixed income mutual funds and money market products. He was also a Vice President of Global Institutional Marketing at Knight Capital Group prior to GSAM and held various positions as a financial journalist at BridgeNews, AFX-News and Bloomberg, covering capital markets, monetary policy and investment strategies.
Mr. Marek earned an MPA in Economic Policy Management in Emerging Markets from Columbia University in 2007 and a BA in English Literature from the University of Massachusetts at Lowell in 1998. Mr. Marek holds the Series 7 and 63.

Andrew Wittkop, Executive Vice President and Portfolio Manager, PIMCO
Mr. Wittkop is an executive vice president and portfolio manager in the Newport Beach office, focusing on Treasury bonds, agencies and interest rate derivatives. He previously worked on the real return desk. Prior to that, he was a portfolio analyst with the global portfolio management team and a product manager for absolute return strategies. He has 19 years of investment experience and holds an MBA from Stern School of Business at New York University and an undergraduate degree from the University of California, Los Angeles.

Michael Albrecht, JP Morgan
Michael Albrecht, vice president, is a global strategist in the Multi-Asset Solutions team, based in New York. He is responsible for formulating and communicating the group's economic views and asset allocation strategy, and also serves on the committee that produces the Long-Term Capital Market Assumptions underpinning J.P. Morgan's strategic asset allocation process. An employee since 2011, Michael worked previously as a quantitative equity researcher at the Quantitative Services Group (now Markit). Michael obtained a B.Sc. in Computational Finance and Statistics from Carnegie Mellon University and is a CFA charterholder.

Kurtulus Taskale Diamondopoulos, Director, Central Banks and Public Policy, World Gold Council
Kurtulus was formerly the Deputy Director of the FX Transactions Division, Markets Department of the Central Bank of the Republic of Turkey. Kurtulus worked at the central bank for 25 years holding various positions within the Markets Department as a reserve and risk management professional. She holds a BA degree in Economics from Middle East Technical University, Ankara and an MA in International Economics and Finance from Brandeis University, Boston.

Marylin Choy, Banco Central de Reserva de Perú
Ms. Choy studied Economics at the National University of San Marcos (1980) and Magister in Economics at Rice University (1982).
Marylin Choy has followed several training courses abroad (with Central Banks, World Bank, CEMLA, World Development Institute, BIS, FLAR, IBCA Limited, German Foundation, ECLAC, Studienzentrum Gerzensee, IMF and Chamber of Commerce and Industry of Bordeaux) and in the country (Global Partners, IPAE, UNMSM, ESAN, among others).
Previously he served as Manager of Credit and Financial Regulation (December 1990 - June 1994), Assistant Manager of the Monetary Sector (March 1984 - February 1989 and May 1989 - December 1990) and Head of the Department of Programming and Financial Analysis (July 1982 - March 1984). He also worked in the Financial Analysis and Programming Department, Financial Programming and Analysis Section and Banking Financial Institutions Section of Banco Central de Reserva de Peru.
Marylin Choy joined the Bank in May 1977 after successfully completing the XXIV University Extension Course of the BCRP.

Juan Carlos Piantini Cardoso, Banco Central de Reserva de Perú
Mr Piantini, is the International Markets Manager for the Central Bank of Chile since July 2017. Between March 2007 and June 2017 he held various management positions beginning with Head of the Fiscal Agency; Head of the International Trading Desk; and Head of the Investment Strategy Departments. As a whole, these positions included the responsibilities for designing and implementing the investment strategies of the Chilean Sovereign Wealth Funds and the International Reserves of the Central Bank of Chile. Between 2005 and 2007 he worked for BCI Stock Brokers and was in charge of the domestic fixed income portfolio. Between 2003 and 2005 he worked as a broker in the International Trading Desk for the international fixed income portfolio of the international reserves at the Central Bank of Chile. 
Mr. Piantini graduated as Economist from Universidad de Santiago and later on, he got a Master degree on financial economics at the same university. He has also developed an academic curriculum contributing to several universities giving courses for graduate and undergraduate students on economics and finance.

Emilio Rodríguez, Head of Asset Management Division, Banco de España.
Mr. Emilio Rodríguez, CFA, is currently Head of the Asset Management Division, within the Market Operations Department, at Banco de España. He leads a team involved in the management of euro denominated assets and foreign reserves portfolios and is also in charge of the implementation of the Eurosystem asset purchase programs. He received his Bachelor in Economics from Universidad Complutense and MSc in Economics and Markets from Universidad Carlos III in Madrid. He joined the Spanish national central bank in 2005 as a portfolio manager, after a career in the private sector with varied responsibilities in the capital markets and finance areas in banking and corporate firms. He has published several articles in domestic journals and is co-author of a book on fixed-income active portfolio management.

Jeffrey Moore, Director, Federal Reserve Bank of New York
Jeff is the Director of Counterparty & Risk Management within the Markets Group at the Federal Reserve Bank of New York.  In this capacity, he manages the 180+ counterparty relationships employed by the markets desk to implement monetary policy and advises on risk issues across trading operations.  Prior to this role, he held a range of positions within the Federal Reserve System spanning research, bank supervision, credit, payment systems and portfolio management. He also worked in the private sector as a consultant for a number of years. He holds BA, MA and PhD degrees in economics from Emory University.

Rosana González, Senior Analyst, Banco Central del Uruguay
I’ve worked Banco Central del Uruguay for 15 years in the Middle Office Department. Actually, I’m Senior Analyst.
I’m an Economist, with a Master in Finances. I have approved CFA 1st level too.
I have attended different workshops at the World Bank related to portfolio management and risk management. The last was about Mortgage Backed Securities (MBS). I have also attended other instances of CEMLA training, as well as New York Institute of Finance (NYIF) online training.

Gerardo García, Director of International Operations at Banco de México
Involved in the design and implementation of strategies for the investment of the 175 billion US dollar international reserves portfolio for over 19 years. Invested in fixed income securities, currencies, commodities, and financial derivatives on a global basis.
Executed the world´s largest oil hedging program using sophisticated OTC derivatives in international financial markets.

Jorge Patrón, International Operations Manager, Banco Central de Reserva del Perú
Mr. Patron studied Economics at the Pontifical Catholic University of Peru, has a Master's degree in Economics from Northwestern University (1994) and has participated in various international courses and seminars organized by FLAR, The Royal Bank of Scotland, CEMLA, Federal Reserve Bank of New York, among others. He has also studied in the country, organized by the Universidad del Pacífico, Universidad Católica, Universidad de Lima, Reuters and the Association of Banks of Peru.
Jorge Patron joined the Bank in January 1988, after successfully completing the XXXIV University Extension Course of the BCRP.

Diego Cifuentes, Banco de la República, Colombia
Diego Cifuentes is the Director of the International Investments Department at the Central Bank of Colombia. He has worked in the Investment Department for over 18 years and has held multiple positions related with management of the country’s foreign reserves and sovereign wealth funds. Diego holds an MBA degree from Columbia Business School, is a CFA Charterholder and has obtained a Bachelor’s degree in Industrial Engineering from Los Andes University in Bogota.

Pablo Orazi, Banco Central de la República Argentina
In 2008, Mr. Orazi worked in the Reserve Administration area of the Central Bank as Portfolio Manager, progressively moving towards more quantitative parts of the area, and currently serves as Deputy Manager of Investment Alternatives Analysis. He has a Bachelor's degree in Economics (UBA, Buenos Aires, Argentina), with a Master's Degree in Finance (UTDT, Bs. As.), Postgraduate Degree in Quantitative Finance (UCEMA, Bs. As.) And a Master's Degree in Data Science with orientation in Finance (AFI, Madrid Spain).

Marco Antonio Ruiz Gil, Senior Financial Officer, Reserves Advisory and Management Program, World Bank Treasury
Marco Ruiz is an engagement manager in the World Bank Treasury’s Reserves Advisory and Management Program (RAMP). In this role, he helps official institutions to implement best practices in asset management. Prior to joining the World Bank, he managed Colombia’s foreign reserves and sovereign wealth funds for almost two decades. In the Central Bank, he started his career as portfolio manager, and later became Head of Portfolio Management and Director of International Investment. In this last position, he received the Reserve Manager of the Year award from Central Banking Publications in 2014. He holds a bachelor’s degree in economics from Universidad de los Andes in Bogota and a Master of Business Administration from New York University. He is a CFA charterholder.

Mr. Vahe Sahakyan, Senior Asset Management Specialist, BIS Banking Department
Vahe Sahakyan is a Senior Asset Management Specialist at the BIS Banking Department. He joined the BIS in 2008 as an Asset Management Specialist supporting BIS internal committees and central bank clients in strategic and tactical asset allocation, asset liability management and outsourcing. Before joining the BIS, he worked for the World Bank and the Central Bank of Armenia and taught econometrics and financial market microstructure at the Universitat Pompeu Fabra.  Vahe Sahakyan holds several titles: PhD in Mathematical Methods (Yerevan State University), PhD candidate in Quantitative Finance (University of Zurich), MA in Economics (Central European University), and MSc in Finance (Universitat Pompeu Fabra).