Inflation Tail Risk Hedging

28 Pages Posted: 30 Mar 2013

Date Written: March 27, 2013

Abstract

Inflation Tail Hedging is discussed. We build a framework for practical hedging of both realized and expected inflation tail risk using indirect liquid options across a variety of markets.

Keywords: Inflation, Hyperinflation, Hedging, Tail Risk, Monetary Policy, Basis Risk

JEL Classification: A10, E40

Suggested Citation

Bhansali, Vineer, Inflation Tail Risk Hedging (March 27, 2013). Journal of Portfolio Management, 2014. Available at SSRN: https://ssrn.com/abstract=2240427

Vineer Bhansali (Contact Author)

LongTail Alpha, LLC ( email )

500 Newport Center Drive
Suite 820
Newport Beach, CA 92660
United States

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