Inflationsprodukter i portefølje- og risikostyring

Mads Berendt Søndergaard

Studenteropgave: Kandidatafhandlinger


The main objective of this thesis is to analyse the use of in ation-linked products such as indexed-linked bonds and in ation derivatives in asset and risk management. To get a thorough knowledge of what the in ation means, the relationship between the nominal interest rate, the real interest rate and the in ation is established using the Fisher relation, which says that nominal interest rate is the sum of the real interest rate and the in ation leading to the de nition of the break-even in ation, which is the in ation that makes the investor indi erent between investing in an in ation-indexed bond and a nominel bond with the same characteristics. To get a better understanding of the reasons to issue or invest in indexedlinked bonds these motives have been analysed. One of the primary reasons to issue in ation-linked bonds is if you have revenues depending on the price movements. Another reason is if you want to reduce the risk premium associated with the bonds. One of the primary reasons to invest in in ation-linked bonds is if you have liabilities depending on the in ation. Furthermore, these bonds have nice properties regarding diversi cation: Low correlation with other assets and a low volatility. These properties will be analysed in the last part of the thesis. With the basic knowledge of the in ation and the market, the di erent types of in ation-linked securities will be introduced. There are several di erent types of in ation-linked bonds each having di erent cash ow pro les, which all will be analysed. Along with the market for in ation-linked bonds, a market for in ation derivatives has been growing providing a great deal of exibility, especially for hedging purposes. This thesis focuses on two types of in ation swaps: Zero-Coupon Swap and Year-on- Year Swap. There is still a lack of pricing models designed to pricing in ation-linked securities, but one approach that is used is the Heath-Jarrow-Morton framework. The two main conclusions of this approach are shown. These include a fast evaluation of the model and few parameters to estimate, which is due to the fact that the dynamics are described as shifts away from the forward curve. Having a pricing model de ned the focus will be changed to the main purpose: In ation-linked securities in risk and asset management. Normally, duration is a wellknown risk measure for bonds, but you need to decompose the duration into both real rate duration and in ation duration when using this measure for indexed-linked bonds. When hedging your liabilities with in ation-linked securities, you need to distinguish between bonds ans swaps, with in ation swaps giving you a much better match of your liabilities, which is the last focus in this thesis along with a short discussion of tactical asset allocation including these securities.

UddannelserCand.merc.mat Erhvervsøkonomi og Matematik, (Kandidatuddannelse) Afsluttende afhandling
Antal sider83