Inflation Risks and Products: The Complete Guide

  • ID: 996886
  • Book
  • 698 Pages
  • Incisive Media
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The financial crisis has seen wild swings in inflation and inflation expectations

As markets tried to digest deflationary forces unleashed by the credit crunch they were hit with fears of the inflationary impact of huge government spending. Will today's falling prices quickly give way to an inflation backlash? How are you managing these risks?

Inflation Risks and Products - The Complete Guide is the most comprehensive, accessible, practical and up-to-date guide to the global market for inflation-hedging products. The book demonstrates how inflation products can be structured and used successfully in a range of portfolios and investing institutions.

SUMMARY

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.
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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
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Brice Benaben is a managing director and global head of property derivatives and inflation trading at Deutsche Bank. Prior to this he was managing director in Citi's inflation trading and executive director in ABN Amro's inflation structuring. He was initially involved in trading linkers as a portfolio manager in the International Finance Corporation (World Bank Group) in Washington DC. Brice is editor and co-author of Inflation Linked Products and has co-authored the chapter “Real Estate Indexes and Property Derivative Markets” in Mortgage and Real Estate Finance. He is a graduate of the University of Oxford, where he studied applied mathematics.

Sébastien Goldenberg is managing director and 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 10 years experience in the inflation-linked market, having worked as global head of trading for inflation products at ABN Amro and having been in charge of inflation trading at Crédit Agricole Indosuez in Paris (Calyon). Sébastien holds a Masters degree in applied mathematics and finance from Université Paris Dauphine and from the French business school, ESSEC. He has been involved in many of the major innovations done by the European sovereign and corporate issuers in the inflation-linked market, such as the first 30-year inflation-linked bond issued by the Agence France Trésor with Crédit Agricole Indosuez, the first 10-year linker benchmark issued by Germany and the first corporate bond linked to European inflation launched by Veolia with ABN Amro, and the first corporate bond linked to Italian inflation launched by Terna with Citi. He is a regular speaker at major conferences and coauthor of Inflation Linked Products: A Guide for Investors and Asset & Liability Managers.
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