Research and publications
Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds
In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy exists for inflation-linked liabilities, so nominal bonds are often used as substitute hedging instruments. ...
Author(s):
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Summary:
In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy exists for inflation-linked liabilities, so nominal bonds are often used as substitute hedging instruments. This article provides a formal analysis of the problem of hedging inflation-linked liabilities with nominal bonds in the presence of real rate uncertainty as well as realized and expected inflation risks.
| Type : | Academic Publication |
|---|---|
| Date : | 20/01/2015 |
| Keywords : |
ALM and Asset Allocation Solutions |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
