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Inflation Risks and Products

Inflation Risks and Products

Brice Benaben
2008
T4 657 pages · about 10h 57m to read Open Librarygoodreads

Successor survey to Benaben's earlier volume: pricing, hedging, market structure.

Summary

The reference has not verified this book in detail; the summary states only what the title, author and subject establish.

This is a technical practitioner volume on inflation-linked markets, edited by Brice Benaben with contributions from bank and asset-management specialists. It covers the instruments through which inflation risk is transferred: index-linked government bonds, inflation swaps, caps and floors on inflation, and structured products embedding inflation exposure. It also addresses the parties on each side of those trades, principally pension funds and insurers with inflation-linked liabilities on one side and issuers and utilities with inflation-linked revenues on the other.

The reference has not yet verified the contents of this volume in detail. Its subject and format are established by the title, the editor's other work in the same area, and the publisher's series, and this entry does not go beyond that. Readers wanting a verified technical treatment of inflation-linked securities should consider Deacon and Derry's Inflation-Indexed Securities, which covers overlapping ground and is better documented.

Key takeaways 5

  1. Inflation risk can be separated from nominal interest rate risk and traded as a distinct exposure.
  2. Index-linked government bonds and inflation swaps price the same underlying risk and typically diverge, creating a basis.
  3. Pension and insurance liabilities linked to price indices create structural demand for inflation protection.
  4. Inflation derivatives markets are concentrated in a small number of dealers, which affects liquidity in stressed conditions.
  5. Index construction details, including lags and revisions, determine whether a hedge actually matches the exposure it is meant to cover.

Who should read it

Practitioners in fixed income or liability-driven investment who need a technical reference on inflation-linked instruments, with the caveat that this entry is not verified in detail.

Similar books 6

Chosen by shared topics, the entries that hold them, and the people who recommended both.

Handbook of Inflation Indexed BondsHandbook of Inflation Indexed Bonds
T2 Handbook of Inflation Indexed Bonds
John Brynjolfsson, Frank J. Fabozzi · 1999
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Essays on inflation-indexed bonds, written as the US TIPS market opened.

Inflation-Indexed SecuritiesInflation-Indexed Securities
T3 Inflation-Indexed Securities
Mark Deacon, Andrew Derry, Dariush Mirfendereski · 2004
Open LibraryGoodreads

How inflation-linked government bonds are designed, priced and traded worldwide.

Inflation-Linked ProductsInflation-Linked Products
T4 Inflation-Linked Products
Brice Benaben · 2005
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Guide for investors and ALM managers to linked bonds and swaps.

The Handbook of Inflation Hedging InvestmentThe Handbook of Inflation Hedging Investments
T3 The Handbook of Inflation Hedging Investments
Robert J. Greer · 2005
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Inflation-linked bonds, commodities and real assets compared as inflation hedges.

A Complete Guide to the Futures MarketsA Complete Guide to the Futures Markets
T4 A Complete Guide to the Futures Markets
Jack D. Schwager · 1984
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Second edition 2017 with Mark Etzkorn, titled A Complete Guide to the Futures Market.

A Demon of Our Own DesignA Demon of Our Own Design
T2 A Demon of Our Own Design
Richard M. Bookstaber · 2007
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How financial innovation made markets more crisis-prone, from a risk manager.

Where it sits in the reference 1

Inflation-linked bonds and TIPS
Assets

Topics

Finance and MarketsInvesting