
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. ...
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 |
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Date : | 20/01/2015 |
Keywords : |
ALM and Asset Allocation Solutions |