Book description
Given monetary and quantitative easing, fiscal spending and weakening currencies in most developed countries, inflation risk has risen to the forefront, and so have investment assets that can protect from erosion in purchasing power.
Inflation sensitive assets (including commodities, equities, infrastructure and real estate investments, and inflation-linked securities) have in fact become a new asset class, with many institutional investors, among which pension funds and insurance companies, allocating an increasing weight to the sector, as an alternative and complement to other traditional asset classes. The growth in investors’ participation in these markets has indeed become a global phenomenon, clearly evident in the increasing volume and types of instruments traded in both the spot and derivatives markets. This shift is of monumental importance in the asset management industry, as pension funds and insurance companies control trillions of assets in the space.
In this book, the authors cover inflation-sensitive instruments as a separate asset class, providing a holistic analysis of the similarities and differences among the distinct assets. The book offers insightful perspectives on relevant empirical research, investment applications, and risk management. Although the approach is from a practitioner’s point of view, the book includes important academic contributions, and will be of interest to portfolio managers, risk managers, plan sponsors and researchers alike.
Book details
- ISBN
- 9781906348625
- Publish date
- 27 Apr 2012
- Format
- Paperback
- Size
- 230mm x 280mm
Author biography
Stefania Perrucci and Brice Benaben
Stefania A. Perrucci, Ph.D.
Stefania is the Founder and CEO of New Sky Capital, an independent investment and advisory firm with offices in Philadelphia and London. She has 15 years of investment experience, spanning both traditional and alternative asset classes. Before founding New Sky, she was a portfolio manager at Morgan Stanley, where she consistently ranked among the top-quartile performers. Her flagship fund was the recipient of a Lipper Funds Award in 2008 (based on top 3yr trailing performance). Before joining Morgan Stanley, she was a Risk Management Specialist at the IFC, part of the World Bank Group.
Over the years, Stefania has established herself as a recognized thought-leader and independent-minded investor. In 2006, she was one of the few buy-side voices advocating a long insurance position (short ABX) to protect against the effects of an imminent collapse in house prices. She is the author of several proprietary models, with one patent awarded, and another pending. Stefania has published cutting-edge research on several market topics, and speaks regularly at industry conferences around the globe. She is the editor and author of "Inflation Sensitive Assets" (RiskBooks, 2012, with Brice Benaben), and of “Mortgage and Real Estate Finance” (RiskBooks, 2008).??
Stefania received a Ph.D. in Theoretical Physics from the University of Virginia, and a Laurea summa cum laude from the University of Modena, Italy. She has held academic positions at universities, both in the United States and Europe, where she was the recipient of more than a dozen awards, in recognition of outstanding academic and teaching achievement.
Brice Benaben
Brice is a Managing Director and Head of Inflation Research at New Sky Capital. He has 15 years of investment experience. Previously, he has held positions as Managing Director and Global Head of Property Derivatives and Inflation Trading at Deutsche Bank, Deputy Head of Inflation at Citibank, Head of Inflation Structuring at ABN AMRO, Head of Fixed Income and Portfolio Strategy at Credit Agricole Indosuez, and Portfolio Manger/Trader at the IFC (World Bank Group).
Brice is editor and author of "Inflation Sensitive Assets" (RiskBooks, 2012, with Stefania Perrucci), editor and author of "Inflation-Linked Products" (RiskBooks 2005), co-editor and author of "Inflation Risks and Products" (RiskBooks 2008), and has co-authored the chapter “Real Estate Indexes and Property Derivative Markets” in "Mortgage and Real Estate Finance" (RiskBooks 2008). He is a graduate of the University of Oxford, where he studied applied mathematics.
Table of contents
This is a provisional table of contents and may change on publication
Part 1 - Introduction: Markets and Instruments
1 Inflation Sensitive Assets
Stefania Perrucci
2 Investable Commodity Indexes and Inflation: A Brief History
Bob Greer
3 The Commodity Market: Implications for Policy and Investments
Kamal Naqvi and Rib Deverell
4 Real Estate Investments and Inflation
Brad Case and Susan Wachter
5 Infrastructure Assets and Inflation
Gerald Stack
6 Equity Strategies and Inflation
Steven Bregman
7 The Inflation-Linked Market
Gang Hu, Stefania Perrucci
8 Inflation Derivatives and Options
Brice Benaben, Stefania Perrucci and Franck Triolaire
Part 2 - Research and Macro Perspective
9 The Role of Models in Modern Monetary Policy
David Vavra
10 Market Inflation Expectations and the Term Structure of Interest Rates
Jing-Zhi Huang and Olesya Grishchenko
11 Monetary Policy, Inflation and Commodities Prices
David Cronin and Frank Browne
12 Inflation and Asset Prices
John (Jack) Tatom
13 Inflation and Equity Returns
Jeff Oxman
14 Dynamic Inflation Hedging: What Works and When?
Alexander Attie and Shaun Roache
Part 3 - Practical Insights from Market Participants
15 Practical Models for Inflation Forecasting
Nic Johnson
16 Insurance Companies Management of Inflation Risk
Ken Griffin and (Edward Yao)
17 Pension Funds Management of Inflation Risk and Liabilities
Markus Aakko
18 Ultra High Net Worth Investors and The Real Asset Value Chain
Ian Barnard
19 Actively Managed Real Return Strategies
Stefania Perrucci
20 Opportunities in Inflation: Emerging Markets
Brice Benaben and Stefania Perrucci
