Inflation-Sensitive Assets
Inflation-Sensitive Assets
Stefania Perrucci and Brice Benaben
Couldn't load pickup availability
Both commodities and inflation-linked products have gained interest in recent years as alternatives and complements to traditional asset classes. The growth in investors’ participation in these markets is a global phenomenon, clearly evident in the increasing volume and types of instruments traded in both the spot and derivatives markets.
In Inflation Sensitive Assets: Instruments and Strategies Stefania Perrucci and Brice Benaben bring together different points of view and practical insights from active market participants including investment banks, asset management, pension funds and central banks.
Designed for practitioners, the book includes important academic contributions, and will be of interest to portfolio managers, risk managers, plan sponsors and researchers alike.
“This book provides an essential resource for investors, consultants and service providers keen to preserve wealth”
Mihir Worah,
Managing Director, Head of Real Return Portfolio Management, PIMCO
Share
More information
About the Author
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
Part 1 - Introduction: Markets and Instruments1 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 Ric 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 TriolairePart 2 - Research and Macro Perspective9 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 Commodity Prices Frank Browne and David Cronin 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 RoachePart 3 - Practical Insights from Market Participants15 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