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Inflation Derivatives in a Risk-Management Perspective PRIMA February 20th, 2007 Inflation Linked Products Practical

2. Agenda. Trends in the derivatives market for inflation productsThe EUR marketDerivatives on local price indicesTypes of inflation productsSwapsOptionsBreakeven inflation curve and option pricesAre there any suitable substitutes for inflation swapsInflation swap risk features Inflation ri

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Inflation Derivatives in a Risk-Management Perspective PRIMA February 20th, 2007 Inflation Linked Products Practical

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    1. Inflation Derivatives in a Risk-Management Perspective PRIMA February 20th, 2007 Inflation Linked Products – Practical and Theoretical Aspects Jacob Lester Institutional Solutions Derivatives Nordea Markets

    2. 2 Agenda

    3. 3 Who trades inflation products?

    4. 4 The market for EUR inflation derivatives

    5. 5 Issuance of linkers

    6. 6 Inflation derivatives on local indices

    7. 7 Agenda

    8. 8 Inflation swaps

    9. 9 Hedging of real cash flows

    10. 10 Options on inflation

    11. 11 Breakeven inflation curves and option prices

    12. 12 Agenda

    13. 13 Are there any suitable substitutes for inflation swaps?

    14. 14 Inflation swap risk features

    15. 15 Inflation swap compared to other assets

    16. 16 Inflation risk premium: The cost of hedging inflation

    17. 17 Agenda

    18. 18 Balance sheet inflation risk

    19. 19 Example: Hedging inflation risk

    20. 20 Risk exposure (liabilities)

    21. 21 Risk exposure with nominal interest rate risk hedge

    22. 22 Hedging exposure to wages with inflation derivatives

    23. 23 Hedging inflation and interest rate risks

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