TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets (Hardcover)

Vineer Bhansali

ISBN 10: 0071791752 / ISBN 13: 9780071791755

Edité par McGraw-Hill Education - Europe, 2014

Hardcover. "TAIL RISKS" originate from the failure of mean reversion and the idealized bell curve of asset returns, which assumes that highly probable outcomes occur near the center of the curve and that unlikely occurrences, good and bad, happen rarely, if at all, at either "tail" of the curve. Ever since the global financial crisis, protecting investments against these severe tail events has become a priority for investors and money managers, but it issomething Vineer Bhansali and his team at PIMCO have been doing for over a decade. In one of the first comprehensive and rigorous books ever written on tail risk hedging, he lays out a systematic approach to protecting portfolios from, and potentially benefiting from, rare yet severe market outcomes.Tail Risk Hedging is built on the author'spractical experience applying macroeconomic forecasting and quantitative modeling techniques across asset markets. Using empirical data and charts, he explains the consequences of diversification failure in tail events andhow to manage portfolios when this happens. He provides an easy-to-use, yet rigorous framework for protecting investment portfolios against tail risk and using tail hedging to play offense. Tail Risk Hedging exploreshow to:Generate profits from volatility and illiquidity during tail-risk events in equity and credit marketsBuy attractively priced tail hedges that add value to a portfolio and quantify basis riskInterpret the psychology of investors in option pricing and portfolio constructionCustomize explicit hedges for retirement investmentsHedge risk factors such as duration risk and inflation riskManaging tail risk is today's most significant development in risk management, and this thorough guide helps you access every aspect of it. With the time-tested and mathematically rigorous strategies described here, including pieces of computer code, you get access to insights to help mitigate portfolio losses in significant downturns, create explosive liquidity while unhedged participants are forced to sell, and create more aggressive yet tail-risk-focused portfolios. The book also gives you a unique, higher level view of how tail risk is related to investing in alternatives, and of derivatives such as zerocost collars and variance swaps. Volatilityand tail risks are here to stay, and so should your clients' wealth when you use Tail Risk Hedging for managing portfolios.PRAISE FOR TAIL RISK HEDGING:"Managing, mitigating, and even exploiting the risk of bad times are the most important concerns in investments. Bhansali puts tail risk hedging and tail risk management under a microscope--pricing, implementation, and showing how we can fine-tune our risk exposures, which are all crucial ways in how we can better weather our bad times." -- ANDREW ANG, Ann F. Kaplan Professor of Business at Columbia University"This book is critical and accessible reading for fiduciaries, financial consultants and investors interested in both theoretical foundations and practical considerations for how to frame hedging downside risk in portfolios. It is a tremendous resource for anyoneinvolved in asset allocation today." -- CHRISTOPHER C. GECZY, Ph.D., Academic Director, Wharton Wealth Management Initiative and Adj. Associate Professor of Finance, The Wharton School"Bhansali's book demonstrates how tail risk hedging can work, be concretely implemented, and lead to higher returns so that it is possible to have your cake and eat it too! A must read for the savvy investor." -- DIDIER SORNETTE, Professor on the Chair of Entrepreneurial Risks, ETH Zurich Using empirical data and charts, this book explains the consequences of diversification failure in tail events and how to manage portfolios when this happens. It Shipping may be from multiple locations in the US or from the UK, depending on stock availability. N° de réf. du vendeur 9780071791755

Synopsis :

The proven advice and tools you need to protect your portfolio from the next financial catastrophe

In the very first book on the subject of tail risk hedging, Bhansali reveals strategies investors can use to protect themselves from potentially catastrophic events. The most important development in risk management is managing for "tail risks", or the risks posed by rare events that can have outsized impact on portfolios.

Tail risk derives its name from the classic bell curves used to illustrate market outcomes. The most likely outcomes occur near the center of the curve, whereas the least likely incomes occur at either "tail" of the curve. Protecting investment portfolios against severe losses has become a priority in the wake of the global financial crisis. This guide provides actionable steps investors can take to hedge their portfolios against these tail risks.

Vineer Bhansali, Ph.D., is a managing director and portfolio manager in the Newport Beach office of PIMCO, where he oversees the company’s quantitative investment portfolios.

À propos de l?auteur:

VINEER BHANSALI, PH.D., is a managing director and portfolio manager in the Newport Beach office of PIMCO, where he oversees the company's quantitativeinvestment portfolios.

Détails bibliographiques

Titre : TAIL RISK HEDGING: Creating Robust ...
Éditeur : McGraw-Hill Education - Europe
Date d'édition : 2014
Reliure : Hardcover
Etat : new