Inflation
Canada pension fund Hoopp goes cool on bonds
$70bn investor rethinks LDI strategy to take into account paltry yield from fixed income
UK inflation reform date to be set in November
RPI switch could happen as early as 2025 to reduce government payouts on gilt linkers, experts suggest
Quants worry inflation risks could sink stocks
Research from ex-BoE official Sushil Wadhwani shows stocks may struggle when inflation is high
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds
Why a top quant wants to be wrong about markets
Former Pimco quant Rebonato sees weak returns, inflation and sovereign debt troubles ahead
Covid-19 and the credit cycle
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate…
Statisticians grapple with inflation impact of Covid-19
Collecting reliable inflation figures during lockdown is not straightforward
Inflation derivatives house of the year: HSBC
UK bank takes CPI to new heights, while using guarantees to get big RPI trades over the line
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Europe eyes the pitfalls of Japanification
Does the cultural and demographic experience of Japan apply to a heterogeneous grouping of nations that have no common monetary policy or a unified social outlook?
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
New inflation calculation clips buy side
Was it a rebasing of the European index, or just a change? Mismatch cost inflation receivers 16bp
Once bitten, twice shy: UK traders wary of inflation reform
Proposals to fix RPI methodology flaws are back on the agenda, but traders have been caught out before
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
New Venezuelan currency linked to oil-backed crypto
Government tries to tackle inflation by linking “sovereign bolivar” to petro
Denmark’s ATP warns of inflation threat to risk parity
Pension fund cuts risk to guard against correlation switchback
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
Pensions shackle UK to RPI linkers, say traders
Carney’s call to end use of flawed inflation index faces obstacles
Inflation derivatives house of the year: Morgan Stanley
Risk Awards 2018: US bank takes repacks to a new level in BBC, Thames and Anglian Water deals
Inflation derivatives house of the year: HSBC
Risk Awards 2017: Clearing, CSAs, CLNs, novations – UK bank's inflation business gets lean
Brexit hedging leaves Ficc books unbalanced
Market-making desks struggling to recycle some client flows ahead of referendum
Inflation derivatives house of the year: Barclays
Barclays led the year's most talked-about trade – the Yorkshire Water swaps restructuring