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Inflation-Linked Products - A Guide For Investors and Asset & Liability Managers
Incisive Media, November 2005, Pages: 360
This new, multi-author book presents the global phenomenon of inflation-linked products. You will benefit from the experience of 24 industry experts who explain the surge of interest in inflation-linked government bonds and the full range of securities and derivatives that have been created to meet the growing demand from pension funds and other investors.
Learn from the experience of the sector's foremost experts - from various industries, such as investment banks, asset management, hedge funds, debt management, insurance, pension funds and risk management consulting - for more details of those involved see the table of contents below.
You will quickly gain a complete understanding of:
- The products and the development of the fast growing inflation market.
- How to overcome the challenges of modelling and pricing innovative structured and derivatives products.
- 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.
Presents you with solid, practical guidance written with one aim: to quickly and effectively improve your investment and hedging strategies.
Covers the most recent product development (e.g. inflation derivatives and options) and the opportunities for long-term investors and asset & liability managers.
Clearly focuses on the issues you face and presents you with workable solutions to many of your most frequently encountered challenges - effectively demonstrating how inflation products can be structured and used successfully.
Explains how inflation-linked products are used for profit today, and their strategic application in the future.
Essential reading for: product structurers, inflation traders, corporate and financial institution treasurers, hedge funds, pension funds, asset & liability managers, securitisation professionals and accounting professionals.
Brice Benaben is the global head of inflation structuring at ABN AMRO. His team have been 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 Crédit 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.
SECTION 1: Understanding and Investing in Inflation-Linked Products
- 1 An Asset Manager's Approach to Real Yield Management
Jörg Warncke and Oliver Letzgus, Union Investment
- 2 The Benefits of Global Inflation-Indexed Bonds
Raymond T. Dalio and Daniel S. Bernstein, Bridgewater Associates, Inc
- 3 Inflation Flows and Investment Strategies
Valdimar Armann and Brice Benaben, ABN AMRO; Bruno Lambert, CIAL
- 4 Special Aspects of Japanese Inflation-Linked Bonds
Hidesaka Taki, BNPP
- 5 Inflation-Linked Derivatives: From Theory to Practice
Sébastien Goldenberg, ABN AMRO; Dariush Mirfendereski, UBS
- 6 Modelling Inflation in Finance
Nabyl Belgrade, Université Panthéon – La Sorbonne, IXIX CIB; Eric Benhamou, Pricing Partners; Etienne Koehler,
Université Panthéon – La Sorbonne, Natexis-BP
SECTION 2: Asset and Liability Management with Inflation-Linked Products
- 7 Agence France Trésor's (AFT's) Approach to Inflation-linked Bonds
Benoit Coeuré and Nicolas Sagnes, AFT
- 8 Active Liability Management with Inflation Products
Stanley Myint, Royal Bank of Scotland
- 9 The Active Alpha Framework and Inflation-Protected Securities
Markus Aakko and Bob Litterman, Goldman, Sachs & Co
- 10 Quantifying and Hedging Inflation Risk for Pension Funds
Stuart Jarvis, Barclays Global Investors; Alan James, Barclays Capital
- 11 From Conditional to Full Indexation: A Discussion of Liability Solutions used in the Dutch and UK Pension Funds
Theo Kocken and Jeroen van der Hoek, Cardono Risk Management; Adam Michaels, Lane Clark and Peacock LCP; David Bieber, ABN AMRO
- 12 Asset-Liability Management of Inflation Risk for Insurers
John Hancock, Swiss Reinsurance Co