Bond Portfolio Investing and Risk Management: Positioning Fixed Income Portfolios for Robust Returns After the Financial Crisis

ISBN-13: 9780071623704 / Angielski / Twarda / 2010 / 352 str.

Vineer Bhansali

Opis

"Excess returns or yields do not come 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 makes 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 manage, his knowledge of and contributions to the academic literature, and his quantitative training, Bhansali 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'--Which options are you short? Who else is in the trade? What will happen in a liquidity-stress scenario?--this book will help asset managers to improve the risk-return characteristics of their portfolios and to avert disasters." -- Bruce Tuckman, author of Fixed Income Securities and Director of Financial Markets Research, Center for Financial Stability "Fixed-income markets used to be peaceful and quiet, but the last several years have shown that these markets can be a little too exciting from time to time, and in this wonderful volume, Vineer Bhansali has done a masterful job of telling us how to deal with this new fixed-income world. With a Ph.D. in particle physics and enormous practical experience in the markets, Dr. Bhansali is uniquely qualified to help investors and portfolio managers navigate through the choppy waters that will likely characterize the financial system for the next several years." -- Andrew W. Lo, Director, Laboratory for Financial Engineering, MIT Sloan School of Management About the Book 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.

Spis treści

Section 1: Bond Basics: Treasury bonds and the Yield Curve/Corporate Bonds and Credit Risk/ Derivatives/ Mortgages/ Municipal Bonds/Real Return Bonds; Section 2: Probability Theory and Stochastic Processes: Normal Random Variables/The Central Limit Theory/ The Probability Distribution for Corporate Bonds Returns/ Correlated Random Variables/ Random Walks/Survival Probabilities/ Correlated Random Walks/Simulation; Section 3: Term Structure Models: One Factor Models and Two Factor Models/Bond Prices, Volatilities/Eurodollar Futures/Futures and Forward Contracts/ Macroeconomics and Two Factor Models; Section 4: Options: Call and Put Options on a Stock/The Merton Model/Options on Interest Rate Sensitive Securities; Section 5: Portfolio Allocation: Utility Functions/The Sharpe Ratio/Beyond Mean and Variance/ Value at Risk/ Examples

O autorze

Vineer Bhansali , Ph.D. , managing director and portfolio manager at PIMCO, oversees PIMCO's quantitativeinvestment portfolios. Prior to joining PIMCO, he was aproprietary trader in the fixed-income trading group at Credit Suisse First Boston and in the fixed-income arbitrage group at Salomon Brothers in New York, and he served as head of the exotic and hybrid options tradingdesk at Citibank New York. The author of Pricing and Managing Exotic and Hybrid Options and Fixed Income Finance: A Quantitative Approach , he serves as an associate editor for the International Journal of Theoretical and Applied Finance . He received his Ph.D. in theoretical physics from Harvard University in 1992 and his bachelor's and master's degrees in physics and engineering and applied sciences from Caltech in 1987. Bhansali lives in Laguna Beach, CA.