Inflation Products: Risk Factors and Valuation

April 29, 2008 - 14:30 BST, 15:30 CEST, 09:30 EDT

As trading volume of inflation-linked products has risen significantly in the last few years, so has the importance of a consistent and accurate approach for pricing and measuring the risk of these instruments.

In previous models, inflation risk would have been nested within interest rate market risk, now with the introduction of new analytics from RiskMetrics Group, users can view inflation as a separate risk type and get better valuations.

During this webcast, Fabien Couderc, Senior Researcher at RiskMetrics Group will discuss the breakeven inflation methodology behind the analytics and Jamie Wong, Senior Risk Analyst will use RiskManager case studies to demonstrate how these types of products can be modelled and how stressing inflation will affect them.

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If you have any questions regarding the webcast please contact eventenquiries@riskmetrics.com