Inflation derivatives
Eurozone dips into deflation, but high inflation still a risk
Inflation in the eurozone turned negative in June for the first time since the single currency was set up in 1999, but rising commodity prices are likely to push inflation back up soon across the world,...
Fabio Mercurio and Nicola Moreni introduce a new forward Consumer Price Index model that is based on a multi-factor volatility structure and leads to SABR-like dynamics for forward inflation rates. Their...
The Australian fixed income market is abuzz amid expectation the federal government will restart its inflation-linked bond issuance programme after mothballing it five years ago. Georgina Lee looks at...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Inflation derivatives articles
Less than zero
A drop in inflation expectations last year sent dealers scrambling to hedge their exposures to 0% floors embedded in structured products, causing a massive dislocation in the inflation swaps market. Have dealers now covered their exposures? By Alexander...
Formula, non
The decision by the French government last year to alter its Livret A inflation-linked savings rate formula introduced huge complexity for banks offering Livret A hedges. However, a further change this year has proven to be the last straw, forcing many...
ATP hedging programme boosts results
Dramatic gains on its hedging programme enabled ATP, the Copenhagen-based labour market pension fund, to almost sidestep the huge falls that hit pension schemes across the world in 2008. ATP - winner of Life & Pensions' 2008 Pension scheme of the year...
Risk Forum: Inflation
Risk Magazine editor Nick Sawyer hosts a round table discussion on the inflation market with key industry participants, focusing on recent market dynamics and the longer-term outlook for the business.
UK Pensions - PC buys Thorn scheme
After buying UK electrical company Thorn in 2006, Pension Corporation (PC) has organised a buyout of the company's £1 billion pension scheme with its regulated insurance subsidiary PIC. According to Chris Martin of Independent Trustee Services (ITS),...
Benefit over the long term
Life & Pensions and roundtable partner Deutsche Bank convened with industry leaders recently discuss the state and the future of the US pension market in the face of recent financial turmoil
Seasonally adjusted prices for inflation-linked bonds
Inflation-linked bond markets are used ever more frequently by policy-makers, economists and commentators to assess the market's opinion about the future path of inflation and real yields. But important effects such as seasonality and carry are often...
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Using market and credit risk analytics to strengthen performance
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