Consumer price index (cpi)
US inflation markets have been through some major events in 2012, including the launch of open-ended quantitative easing and knock-on effects from the forced unwind of Greek asset swaps. Against a backdrop...
Concerns over unsustainable demand and market fragmentation halt issuance of gilts linked to consumer price index
Bankers and investment managers have welcomed government proposals to introduce gilts linked to the consumer price index (CPI), downplaying concerns that these instruments could fragment the market. ...
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.
More Consumer price index (cpi) articles
The former trustees of the BA Airways Pension Scheme have vowed to take the scheme to court over its controversial move to stop paying pensions in line with RPI inflation
The Bank of Korea held interest rates yesterday in a surprise move which caught fixed-income traders who had factored in a 25-basis point rise by surprise. The move questions Korea’s efforts to tackle inflation and raises concerns that the central bank...
Life companies have spent the past couple of years tightening up exposure to inflation, but are they ready to meet consumer demand for inflation-linked products? Blake Evans-Pritchard reports
An unusually long tenor for a US structured product is one prominent feature of UBS’s Contingent Real-Return Performance Securities. Based on the S&P 500 and a US Consumer Price Index, returns are uncapped, although capital is not protected is the S&P...
Brody, Crosby & Li (2008) introduced a quasi-analytical method to price limited price index (LPI) swaps with the Jarrow & Yildirim (2003) model. Their method works well for short-term contracts, but the approximation error for long maturities may be far...
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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