Inflation Risks and Products
As tools to mitigate risk – both inflationary and deflationary – inflation-linked bonds have seen explosive development in recent years. They are now a global phenomenon.
Liquid markets for these products mean investors now recognise them as a separate asset class. The market is becoming more and more complex as sophisticated new players such as hedge funds, liability driven investors, and non-life insurance practitioners are added to the mix.
As tools to mitigate risk – both inflationary and deflationary – inflation-linked bonds have seen explosive development in recent years. They are now a global phenomenon.
Liquid markets for these products mean investors now recognise them as a separate asset class. The market is becoming more and more complex as sophisticated new players such as hedge funds, liability driven investors, and non-life insurance practitioners are added to the mix.
Throughout Inflation Risks and Products leading industry authorities explain the intricacies of markets worldwide and detail strategic approaches to quickly and effectively improve your investment and hedging strategies. Inflation Risks and Products dissects and analyses the issues you as a market practitioner face and presents you with the latest implementable solutions to the most frequently encountered challenges.
With this new book you will quickly gain a comprehensive understanding of:
- The products and the development of the fast growing inflation market
- Insights into new markets such as property derivatives and infrastructure projects
- How to overcome the challenges of modelling and pricing innovative structured and derivatives products
- New and emerging trading strategies
- The latest investment opportunities for hedge funds and asset & liability managers
- Hedging strategies and their use as an efficient tool for pension funds and insurance companies
- The benefits of inflation-linked products for sovereign and corporate issuers
- The thinking and practice of issuers
The industry’s foremost experts, drawn from a range of sectors including banks, asset management, hedge funds, debt management, insurance, pension funds and risk management consulting explain how inflation-linked products are used to generate profit today, and their strategic application in the future.
The book provides cutting-edge analysis of increasingly important subject areas such as liability management, credit risk, and the inflation derivatives market, as well as taking a more global perspective of inflation-linked products, with case studies of burgeoning markets in Japan, Australia, Latin America, Korea, among others.
Inflation Risks and Products is essential reading for: corporate and financial institution treasurers, product structurers, inflation traders, debt managers, hedge funds, pension funds, asset & liability managers, securitisation professionals and accounting professionals.
| ISBN | 9781906348076 |
|---|---|
| Navision code | MIRP |
| Publication date | 1 Dec 2008 |
| Size | 155mm x 235mm |
Introduction
Brice Benaben; Sébastien Goldenberg
Deutsche Bank; Citi
SECTION I: INFLATION AND TRADITIONAL FINANCIAL ASSETS
1 Global Inflation-linked Bonds and Real Rates: Dynamics and
Pricing
Jamil Baz; John Brynjolfsson
GLG Partners; ArmoredWolf, LLC
2 Inflation-linked Markets and Monetary Policy
Cedric Scholtes
Fischer, Francis Trees & Watts
3 Real Estate Derivatives: A Proxy for Inflation
Tarik Senhaji
Natixis
4 History of Commodities as the Original Real Return Asset Class
Michael Ashton; Bob Greer
Natixis; PIMCO
5 Hedging Inflation with Infrastructure Assets
Valdimar Armann; Mark A. Weisdorf
Royal Bank of Scotland; JPMorgan Asset Management
SECTION II: INFLATION-LINKED BONDS
6 The Global Inflation-linked Market
Seamus Brown; Raoul Salomon
GIC; Barclays Capital
7 Inflation-linked Bonds for the Total-return Investor
Brian Weinstein, Adam Bowman, Stuart Spodek
BlackRock
8 Special Aspects of Japanese Inflation-linked Bonds
Hidesada Taki; Alessio Caldarera
Mitsubishi UFJ; BNP Paribas
9 The Australian Inflation Market
Sam Mitchell, Gary Vassallo
Macquarie Bank
10 Inflation Products in Emerging Markets
Koon Chow, Ralph Segreti
Barclays Capital
SECTION III: INFLATION-LINKED DERIVATIVES
11 Global Inflation Derivatives Markets
Brice Benaben; Herve Cros
Deutsche Bank; BNP Paribas
12 Evaluating Credit Risk in Inflation-linked Bonds
Sébastien Goldenberg
Citi
13 Building an Inflation Swap Curve
Stéphane Salas; Borut Miklavcic
Société Générale; Lehman Brothers
14 Modelling Inflation
Fabio Mercurio; Yildiray Yildirim
Bloomberg; Syracuse University
15 Inflation-linked Options
Nicolas Tabardel; Brice Benaben
Citi; Deutsche Bank
SECTION IV: INFLATION IN PENSION FUNDS AND INSURANCE
COMPANIES
16 Liability-driven Investing and Inflation: Theory and Practice
Markus Aakko, Bob Litterman
Goldman, Sachs & Co
17 Hedging Conditional Indexation Risk
Vincent van Antwerpen, Huub van Capelleveen, Peter den Iseger,Bart Oldenkamp
Cardano
18 Inflation Products for Financial Institutions
Paul Canty
Deutsche Bank
19 Modelling Inflation Risk in Property and Casualty Insurance Portfolios
David Bieber
Citi
SECTION V: INFLATION AND LIABILITY MANAGEMENT
20 Liability Management with Inflation-linked Products: UK and Canada Approaches
Myrvin L. Anthony; Arnaud Marès; David Bolder, Nicolas Sagnes
International Monetary Fund; Bank of Canada; BNP Paribas
21 Liability Management with Inflation-linked Products:
The Case of Sweden, France and Italy
Lars Hörngren, Erik Zetterström; Jean-Paul Renne; Davide Iacovoni;Nicolas Sagnes
Swedish National Debt Office; Agence France Trésor; Ministry
of Economy and Finance, Italy; BNP Paribas
22 Liability Management with Inflation Products: the Utilities’Prospects – The Case Study of Veolia
Baptiste Janiaud
Veolia
23 An Historical Perspective on Issuing Index-linked Gilts and Launching Ultra-long Bonds
Mark Deacon, James Knight
UK Debt Management Office
24 Corporate and Infrastructure-backed Inflation-linked Bonds
Daragh McDevitt; John Kirwan
Deutsche Bank; DEPFA Bank