Inflation-Linked Products: A Guide for Investors and Asset and Liability Managers - Benaben

This 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. Inflation-Linked Products: A Guide for Investors and Asset & Liability Managers addresses the salient points concerning the investor and issuer.

Learning from the experience of industry experts - including Brice Benaben, Benoît Coeuré, Bob Litterman, Darius Mirfendereski, Dan Bernstein, Etienne Koehler and more - from various industries, such as investment banks, asset management, hedge funds, debt management, insurance, pension funds and risk management consulting - you will gain an excellent understanding of: 1) the products and the development of the fast growing inflation market; 2) how to overcome the challenges of modelling and pricing innovative structured and derivatives products; 3) trading strategies; 4) the latest investment opportunities for hedge funds and asset & liability managers; 5) hedging strategies and their use as an efficient tool for pension funds and insurance companies; 6) the benefits of inflation-linked products for sovereign and corporate issuers.

Inflation-Linked Products presents you with solid, practical guidance written with one aim: to quickly and effectively improve your investment and hedging strategies. The book covers recent product development (for example, inflation derivatives and options) and the opportunities for long-term investors & liability managers. It 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.

This indispensable volume explains how inflation-linked products are used for profit today, and their strategic application in the future. It is essential reading for product structurers, inflation traders, corporate and financial institution treasurers, hedge funds, pension funds, asset & liability managers, securitisation professionals and accounting professionals.

  • Level: Basic+
  • Major Topics: T15, T24
  • Minor Topics:


Table of Contents

Section 1: Understanding and Investing in Inflation-Linked Products
1. An Asset Manager's Approach to Real Yield Management
2. The Benefits of Global Inflation-Indexed Bonds
3. Inflation Flows and Investment Strategies
4. Special Aspects of Japanese Inflation-Linked Bonds
5. Inflation-Linked Derivatives: From Theory to Practice
6. Modelling Inflation in Finance

Section 2: Asset and Liability Management with Inflation-Linked Products
7. Agence France Trésor's (AFT's) Approach to Inflation-linked Bonds
8. Active Liability Management with Inflation Products
9. The Active Alpha Framework and Inflation-Protected Securities
10. Quantifying and Hedging Inflation Risk for Pension Funds
11. From Conditional to Full Indexation: A Discussion of Liability Solutions used in the Dutch and UK Pension Funds
12. Asset-Liability Management of Inflation Risk for Insurers…read more