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Bond portfolio investing and risk management : positioning fixed income portfolios for robust returns after the financial crisis / Vineer Bhansali

Author
Bhansali, Vineer
Published
New York : McGraw-Hill, [2011]
Copyright Date
©2011
Physical Description
xxi, 289 pages : illustrations ; 24 cm

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Contents
Audience -- History of the Book -- How This Book Is Different -- Why This Book? -- The Key Idea -- Outline of the Book -- Chapter 1. Risk and Total Return -- Fixed Income Risk Factors -- Different Ways of Measuring Risk -- The "Big 4" Risk Factors for Active Fixed Income and Total Return -- "Structural" Approach to Investing -- Looking Back, Looking Forward -- Chapter 2. Building Blocks -- Option-Based Approach to Risk and Relative Value -- Forward Pricing -- Asset Swaps -- Valuation Using Scenario Analysis -- Betas: Risk Adjustment and Portfolio Aggregation -- Chapter 3. Portfolio Structure -- Understanding Carry -- Understanding the Butterfly Strategy -- Convexity and Time Decay -- Extracting Risk Premium -- Structural Value in Mortgage Rolls -- Structural Value in Futures Contracts -- Swaps and Structural Alpha -- Structural Value in CDS Basis Trades -- Mean Reversion: Structural Value of Direct Option Sales -- Structural Value in Municipal Bonds -- Volatility and Currency Carry Trades -- Interaction of Foreign Exchange and Rates Markets -- Caveat Emptor -- Chapter 4. Macro Considerations -- Macroeconomics of Model Building -- Macro Drivers of Correlation Risk in Credit Markets -- Risk Management with Macro Views: Forecasting Betas -- New Macro: Modeling When the Government Is a Participant -- Chapter 5. Replication -- Leverage with Futures Contracts -- Replication -- Fixed Income ETFs -- Chapter 6. Stress Testing and Tail Risk Management -- Stress Testing -- Tail Risk Management -- The Behavior of Volatility -- Chapter 7. Bonds in a Portfolio Setting -- Asset Allocation -- Equity Risks in Bond Portfolios -- Portfolio Tail Risk -- Holdings under Leverage Constraints.
Summary
""Excess returns or yields do not conic without risk. Bond Portfolio Investing and Risk Management delves comprehensively, but intuitively, into the various risk factors and delivers the tools to understand, measure, control, and take advantage of risk premiums in practical fixed income investing. As the financial crisis has made all too clear, this book's unifying treatment of risk and return is essential for all bond investors."-Andrew Ang, Ann F. Kaplan Professor of Business, Columbia Business School" "This moves instantly to the top of my recommended list of important reading for concept-oriented fixed income investors. Profit by learning how a true expert nukes risk-return trade-offs when constructing portfolios of bonds and related derivatives.-Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University" ""Vineer Bhansali combines the mathematical rigor of a trained physicist with the commonsense wisdom of a school-of-hard-knocks practitioner to deliver a unique prism into the world of bond investment and risk management post the Financial Crisis. The book is not just valuable, but extremely timely. You won't want to read it quickly, but slowly and thoughtfully, as it is an analytical mosaic, not simply a well-written narrative, even though it is indeed that. Bravo, Vineer!-Paul McCulley, Managing Director, PIMCO" "Drawing on his years of experience as a portfolio manager, his knowledge of and contributions to the academic literature, and his quantitative training, Bhansah bridges the gap between book knowledge and the practicalities of successful, long-term investing. By focusing attention on big-picture questions that are often forgotten in the course of portfolio 'optimization.
Subject(s)
ISBN
9780071623704 (hbk.)
0071623701 (hbk.)
Bibliography Note
Includes bibliographical references and index.
View MARC record | catkey: 6764517