Inflation Derivatives and LDI Solutions - Euromoney Conferences
Inflation Derivatives and LDI Solutions - Euromoney Conferences
Inflation Derivatives and LDI Solutions - Euromoney Conferences
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uttonma [printed: February 1, 2007 1:46 PM] [saved: February 5, 2007 1:06 PM] C:\Documents <strong>and</strong> Settings\buttonma\Local Settings\Temporary Internet Files\OLK1C4\Risk_Feb07_slides.ppt<br />
Compute 99.5% loss estimate using historic risk model<br />
Total risk budget is 32% of fund (or £220bn hit)<br />
We decompose the risk budget into contributions arising from each<br />
source<br />
Loss components<br />
40%<br />
35%<br />
30%<br />
25%<br />
20%<br />
15%<br />
10%<br />
5%<br />
0%<br />
14.6%<br />
Equity<br />
20.5%<br />
Liabs<br />
Risk budget decomposition<br />
0.5% 1.4% 0.8% 0.0% 0.0% 0.1% 0.2% 0.1% 0.0% 0.0%<br />
IRSZ 10yr<br />
IRSZ 20yr<br />
IRSZ 30yr<br />
IRSZ 40yr<br />
IRSZ 50yr<br />
RPIZ 10y<br />
RPIZ 20y<br />
RPIZ 30y<br />
RPIZ 40y<br />
RPIZ 50y<br />
32.0%<br />
Total<br />
21
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