Inflation Risks and Products

Inflation Risks and Products

By: Sebastien Goldenberg (editor), Brice Benaben (editor)Hardback

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The recent exceptional surge in inflation has been a global phenomenon and has had an important impact on the financial markets across the globe. Inflation risk has become a key priority for financial players. This has led them to focus on inflation related financial products like property derivatives, infrastructure assets and commodities on the connection between inflation and short term-rates. "Inflation Risks and Products: The Complete Guide" explains in detail both the connection of financial instruments with inflation risk, and what are the opportunities in the inflation-linked products today and their strategic application in the future. This multi-contributor book allows you to learn from the sector's foremost experts from investment banks, asset management, hedge funds, debt management, insurance, pension funds and risk management consulting.Presenting you with solid, practical guidance and illustrated with global case studies, "Inflation Risks and Products" will help you to improve your investment and hedging strategies and gain a clear understanding of: the complex relationship between inflation and inflation related products like property derivatives and infrastructure asset and commodities; the products and the development of the fast growing inflation market; how to overcome the challenges of modelling and pricing innovative structured and derivatives inflation products; trading strategies; the latest investment opportunities for hedge funds and asset and liability managers; and the benefits of inflation-linked products for sovereign and corporate issuers. This is essential reading for product structurers, inflation traders, corporate and financial institution treasurers, hedge fund managers, pension funds, asset and liability managers, securitisation professionals, and accounting professionals.

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About Author

Brice Benaben is currently a Managing Director and Global Head of Inflation at Deutsche Bank. In the past he was the global head of inflation structuring at ABN AMRO. His team was structuring a wide range of inflation-linked products and innovative solutions for hedge funds, pension funds, corporates, financial institutions, and project finances both in Europe and the USA. He was initially involved in linkers trading as a portfolio manager in the International Finance Corporation (World Bank group) in Washington DC. Then, as head of fixed income and portfolio strategies in Credit Agricole Indosuez (Calyon), he worked with sophisticated investors on risk budgeting frameworks, focusing particularly on inflation strategies within fixed income portfolios. He also advised major European sovereign issuers on various debt management issues; this includes optimising the funding strategies for debt portfolio, mixing nominal and inflation-linked bonds with risk-adjusted cost quantitative models. Brice speaks regularly at conferences and has co-written various papers on asset management and debt management with inflation-linked products. Brice is a graduate of Oxford University, where he studied applied mathematics.Sebastien Goldenberg is Managing Director and Global Head of Inflation-Linked Products at Citi.His teams are trading all inflation-linked bonds, swaps and options and exotics across the globe.He has more than nine years experience in the inflation market, having worked as global head of trading for inflation products at ABN AMRO and having been in charge of inflation trading at Credit Agricole Indosuez in Paris (CALYON). Sebastien a holds Masters degree in applied mathematics and finance from Universite Paris Dauphine and from the French business school, ESSEC.


SECTION 1: THE GLOBAL INFLATION-LINKED BOND MARKETChapter 1Investment Strategies: The Approach of an Inflation Benchmarked-investorJamil Bas, John BrynjolfssonChapter 2Inflation-linked Markets and Monetary PolicyCedric ScholtesChapter 3Real Estate Derivatives: A Proxy for InflationTarik SenhajiChapter 4Inflation and CommoditiesMichael Ashton; Bob GreerChapter 5Hedging Inflation with Infrastructure AssetsValdimar Armann; Mark A. WeisdorfSECTION 2: INFLATION-LINKED BONDSChapter 6The Global Inflation-linked MarketSeamus Brown; Raoul SalomonChapter 7Inflation-linked Bonds for the Total-return InvestorBrian Weinstein, Adam Bowman, Stuart SpodekChapter 8Special aspects of Japanese Inflation-linked BondsHidesada TakiChapter 9The Australian Inflation MarketSam Mitchell, Gary VassalloChapter 10Emerging Markets InflationKoon Chow, Ralph SegretiChapter 11Inflation Derivatives Herve Cros, Brice BenabenChapter 12Inflation and Credit Asset Swaps and the Real Price for Corporate LinkersSebastien GoldenbergChapter 13Building the forward CPI Curves and Pricing Simple StructureStephane Salas; Borut MiklavcicChapter 14Modelling InflationFabio Mercurio; Yildiray YildirimChapter 15Inflation-linked OptionsBrice Benaben; Nicolas TabardelSECTION 3: INFLATION IN PENSION FUNDS AND INSURANCE COMPANIESChapter 16An Overview of Inflation Risk within Pension Funds and Insurance CompaniesJoe Hamilton; Stuart JarvisChapter 17Liability-Driven Investing and Inflation: Theory and PracticeMarkus Aakko; Bob LittermanChapter 18Hedging Conditional Indexation RiskVincent van Antwerpen, Huub van Capelleveen, Peter den Iseger and Bart OldenkampChapter 19Life Insurance and Inflation RiskErwan Boscher; Paul CantyChapter 20 P&C Inflation and Inflation RiskMichael Ege; David BieberSECTION 4: INFLATION "PAYERS"Chapter 21Liability Management with Inflation-linked Products: UK and Canada ApproachesMyrvin L Anthony; Arnaud Mares; David Bolder; Nicolas SagnesChapter 22Liability Management with Inflation-linked Products: The Cases of Sweden and FranceLars Horngren, Erik Zetterstrom; Jean-Paul Renne; Nicolas SagnesChapter 23Liability Management with Inflation Products: Utilities' ProspectsBaptiste Janiaud; P. HinkelChapter 24An Historical Perspective on Issuing Index-linked Gilts and Launching Ultra-long BondsMark Deacon, James KnightChapter 25Corporate and Infrastructure-backed Inflation-linked BondsDaragh McDevitt; John KirwanNB. This table of contents is provisional and is subject to change

Product Details

  • publication date: 31/08/2008
  • ISBN13: 9781906348076
  • Format: Hardback
  • Number Of Pages: 696
  • ID: 9781906348076
  • ISBN10: 1906348073

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