BOND PORTFOLIO INVESTING AND RISK MANAGEMENT VINEER BHANSALI Księgarnia

Bond Portfolio Investing and Risk Management helps you build portfolios to add value through every kind of economic cycle. Sharing his years of experience constructing robust, wellperforming portfolios that have navigated recurring crises, PIMCO portfolio manager

Vineer Bhansali explores the various risk factors inherent in fixed income investments, including yield curve shifts, twists, liquidity, and evolving risk factors such as government policy. Under an option-theory based riskand- return framework, you will gain intimate knowledge of the right valuation, investment, and risk management tools and confidently put them to use in practical portfolio construction.

Basing his conclusions on his own expertise and the latest academic and practitioner research, Bhansali provides valuable insight into topics you would be hard-pressed to find elsewhere, such as:

Option-based building blocks to valuation
Measuring liquidity and stress risks
Asset selection and risk factors
Building state-of-the-art macro models
Inefficiencies in the markets
Cross-market relationships
Forecasting returns and risks
Measuring and managing tail risk

Bond Portfolio Investing and Risk Management

simplifies the concepts you need to understand--without making them simplistic. It offers the newest research-based frameworks for approaching the risks with the greatest likelihood to pay off and walking away from those that won't. While state of the art in its content, the book emphasizes a commonsense approach that has weathered the test of time and market volatility.

From one of the most knowledgeable people in the business, Bond Portfolio Investing and Risk Management may be the most thorough, up-to-date book you will find for constructing highly effective toolkits faster and better than ever before.

Table of Contents

Foreword

Acknowledgments

Preface

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 1

Fixed Income Risk Factors 5

Different Ways of Measuring Risk 6

The "Big 4" Risk Factors for Active Fixed Income and Total Return 7

"Structural" Approach to Investing 11

Looking Back, Looking Forward 18

Chapter 2 Building Blocks 25

Option-Based Approach to Risk and Relative Value 25

Forward Pricing 31

Asset Swaps 44

Valuation Using Scenario Analysis 46

Betas: Risk Adjustment and Portfolio Aggregation 52

Chapter 3 Portfolio Structure 57

Understanding Carry 58

Understanding the Butterfly Strategy 62

Convexity and Time Decay 64

Extracting Risk Premium 68

Structural Value in Mortgage Rolls 74

Structural Value in Futures Contracts 79

Swaps and Structural Alpha 80

Structural Value in CDS Basis Trades 82

Mean Reversion: Structural Value of Direct Option Sales 84

Structural Value in Municipal Bonds 87

Volatility and Currency Carry Trades 89

Interaction of Foreign Exchange and Rates Markets 104

Caveat Emptor 107

Chapter 4 Macro Considerations 117

Macroeconomics of Model Building 119

Macro Drivers of Correlation Risk in Credit Markets 149

Risk Management with Macro Views: Forecasting Betas 160

New Macro: Modeling When the Government Is a Participant 167

Chapter 5 Replication 175

Leverage with Futures Contracts 175

Replication 176

Fixed Income ETFs 184

Chapter 6 Stress Testing and Tail Risk Management 189

Stress Testing 190

Tail Risk Management 210

The Behavior of Volatility 223

Chapter 7 Bonds in a Portfolio Setting 231

Asset Allocation 232

Equity Risks in Bond Portfolios 262

Portfolio Tail Risk 266

Holdings under Leverage Constraints 271

Epilogue 277

References 279

Index 283

362 pages, Hardcover

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.