Bond Portfolio Investing and Risk Management

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McGraw Hill Professional, Sep 17, 2010 - Business & Economics - 192 pages
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Learn the fine art of risk measurement and control—from a senior member of PIMCO!

Bond Portfolio Investing and Risk Management is designed for one purpose—to help you do the most important part of your job.

A top player in the upper echelon of PIMCO, Vineer Bhansali understands the nuances and complexities of managing risk in fixed-income investing better than anyone. In this highly practical guide, he puts his years of experience and the latest research to work in order to help you contend with such issues as:

  • Liquidity and stress risks
  • Asset allocation
  • Market anomalies
  • Cross-market relationships
  • Tail-risk measurement
  • Cyclical returns
  • Macroeconomic data

Bond Portfolio Investing and Risk Management details the tools used to offset risk, including their advantages and drawbacks, and explains when to use each one. Bhansali provides practical investment techniques to give you a firm handle on the value and risk of a fixed-income instrument.

 

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Contents

Chapter 1 Risk and Total Return
1
Chapter 2 Building Blocks
25
Chapter 3 Portfolio Structure
57
Chapter 4 Macro Considerations
117
Chapter 5 Replication
175
Chapter 6 Stress Testing and Tail Risk Management
189
Chapter 7 Bonds in a Portfolio Setting
231
Epilogue
277
References
279
Index
283
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About the author (2010)

Vineer Bhansali is an Managing Director/Portfolio Manager and Head of Global Quantitative Portfolios. Dr. Bhansali joined PIMCO in 2000, previously having been associated with Credit Suisse First Boston as a vice president in proprietary fixed-income trading. Prior to that, he was a proprietary trader for Salomon Brothers in New York and worked in the global derivatives group at Citibank. He is the author of numerous scientific and financial papers and of the book Pricing and Managing Exotic and Hybrid Options (McGraw Hill, 1998). He currently serves as an associate editor for the International Journal of Theoretical and Applied Finance. Dr. Bhansali has fifteen years of investment experience and holds a bachelor's degree and a master's degree in physics from the California Institute of Technology, and a Ph.D. in theoretical particle physics from Harvard University.

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