Inflation Risks and Products
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
- Inflation risk can be separated from nominal interest rate risk and traded as a distinct exposure.
- Index-linked government bonds and inflation swaps price the same underlying risk and typically diverge, creating a basis.
- Pension and insurance liabilities linked to price indices create structural demand for inflation protection.
- Inflation derivatives markets are concentrated in a small number of dealers, which affects liquidity in stressed conditions.
- 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.
Where it sits in the reference 2
Similar books 6
Chosen by shared topics, the entries that hold them, and the people who recommended both.
