4/07/2023 Sustainable Finance From Climate Stress Testing to Climate Value-at-Risk: A Stoc... This paper proposes a comprehensive climate stress testing approach to measure the impact of transition risk on investment portfolios.
14/06/2013 Asset Pricing & Behavioural Finance Cross-Hedging of Inflation Derivatives on Commodities: The I... According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout...
15/12/2012 Portfolio Allocation Swapping Headline for Core Inflation: An Asset Liability Man... Headline Inflation in the US has been shown to be mean reverting to Core Inflation at medium term, whilst at the same time the pass-through of commodity...
15/11/2012 Portfolio Allocation Alternative Inflation Hedging Portfolio Strategies: Going Fo... Gone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics.
15/10/2012 Asset Pricing & Behavioural Finance Market-implied inflation and growth rates adversely affected... The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions...
15/06/2012 Portfolio Allocation Inflation-Hedging Portfolios: Economic Regimes Matter The exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility...
15/04/2012 Portfolio Allocation An Inflation Hedging Strategy with Commodities: A Core Drive... Recent academic studies have shown that since the mid-nineties, the pass-through of exogenous oil shocks into headline inflation has been increasing while...
15/01/2012 Portfolio Allocation Inflation and Individual Equities We study the inflation hedging ability of individual stocks.
15/04/2008 Portfolio Allocation Do Inflation-Linked Bonds Still Diversify? The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly.