January 2023
Intermediate to advanced
129 pages
3h 35m
English
Content preview from Inflation-Linked Bonds and Derivatives
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Chapter 6 Risk Measures and Risk Premia
Risk and Inflation-Linked Products
Inflation-linked products are subject to a somewhat unique set of risks and risk premia, and once more it’s essential to understand what is going on to trade these products. What do we mean by these two terms?
The risk of a product is assumed to be some measure of its price variability. A high-risk product is one whose value varies greatly. A low-risk product has a stable value. Even as we make these statements, a question arises – why are we saying “variability” and not “loss likelihood”? If there were a product that tended to make sharp price gains but not losses, its risk indicated by price variability would nevertheless be high, even though its “risk” in the intuitive, ...
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