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Benefit from inflation

with bonds, swaps, caps and floors

The problem of inflation is nearly as old as currency itself, and inflation-linked products have been around for centuries as well. In this article, consultant Rogier Galesloot discusses the history of inflation-linked products and shows how inflation-linked bonds, swaps, and caps/floors can be of interest to an organization or institution looking to hedge against inflation. 

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Improve your risk calculations

Value at risk and Economic Capital

Hardly any risk models properly estimated the negative financial results of the past years. Even the most extreme risk calculations – typically expressed in such terms as ‘Value at Risk’ and required ‘Economic  Capital’ – made no allowance for such fierce fluctuations.

To some extent this is due to a lack of ‘negative’ data. But there is considerable room for improvement in the modeling of risks, and in particular their dependency.

Analyst Bas Tammens explains how this matter should be tackled.

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Expert opinion: Dick Sluimers APG

Do we need to know the day-to-day value of pension funds

Dick Sluimers is chairman at the Dutch pension fund services provider APG. Managing assets of €230 billion for various pension funds, APG is an important player in the pensions world.

In this article, Sluimers outlines his view that it is time to get away from the daily determination of the coverage ratio – a constant focus of attention for the media, politicians and regulators.

While he admits that it’s interesting to know the day-to-day value of a pension fund, he asks: ”But what is the relevance?”

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Long life not always a blessing

For insurers and pension funds

Individuals are not the only ones exposed to mortality risk. Pension funds, insurers and governments also face the same risk from a different angle: the longevity risk. Insurers must maintain capital for the longevity risk that they run.

Zanders consultants Tom van Zalen and Joost Berkvens show how the selling of longevity risk on the capital market helps to reduce the capital buffer.

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Illiquid instruments

How to price illiquid or OTC instruments at market value

It’s hard to put a value on some things (think a loyal friend or a sunny day) but financial instruments shouldn’t fall into that category.

This article takes a look at calculating pricing for illiquid or OTC instruments not quoted by market services such as Reuters or Bloomberg.

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