Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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High inflation and the regulatory demands placed on pension funds continue to create solid demand for UK inflation protection from liability-driven investors. But with dissipating corporate supply, the swap market appears to be in peril. Mark Pengelly...
Rising inflation, combined with falling or stable interest rates, has left investors with mark-to-market losses on inflation range accruals. Instead, investors are turning to simple products offering protection against further increases in inflation....
Just a couple of months ago, talk of further rate cuts was still bandied around, certainly in the UK and the US. Financial markets were under pressure, liquidity had dried up and house prices were sinking. Today, the overwhelming consensus is that the...
Issuance of inflation products and creation of indexes is on the rise as investors seek to hedge exposure to rising inflation. In the UK, the Consumer Price Index (CPI) experienced an increase of 0.3% between April and May, according to the Office for...
A new formula introduced by the French government that fixes the rate of the Livret A could have strong implications on the French inflation market and could create conditions for attractive inflation structured products
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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