Interest Rate Derivatives

Interest Rate Derivatives

Inflation Risks and Products

By

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.

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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.

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.

More Information
ISBN 9781906348076
Navision code MIRP
Publication date 1 Dec 2008
Size 155mm x 235mm
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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