Bond Portfolio Investing and Risk Management: Positioning Fixed Income Portfolios for Robust Returns After The Financial Crisis - Couverture rigide

Bhansali, Vineer

Couverture rigide

ISBN 10 : 0071623701 ISBN 13 : 9780071623704

Editeur : McGraw-Hill Professional, 2010

Synopsis

"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 practicalfixed 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-returncharacteristics 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 managerVineer 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 portfolioconstruction.

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 market

A propos du livre

À propos de l?auteur

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.

Détails de l'édition

• Éditeur: McGraw-Hill Professional
• Date d'édition: 2010
• Langue: anglais
• ISBN 10: 0071623701
• ISBN 13: 9780071623704
• Reliure: Relié
• Nombre de pages: 352
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible