9780071623704

Learn the fine art of risk measurement and control from a senior member of PIMCO!Bond Portfolio Investing and Risk Managementis 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 dataManaging Risk in Fixed-Income Investingdetails 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.

Vineer Bhansali is an Executive Vice President, portfolio manager, firm-wide head of analytics for portfolio management, and a senior member of PIMCO's portfolio management group. 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.

Foreword	p. xi
Acknowledgments	p. xv
Preface	p. xvii
Audience	p. xvii
History of the Book	p. xviii
How This Book Is Different	p. xix
Why This Book?	p. xix
The Key Idea	p. xix
Outline of the Book	p. xx
Risk and Total Return	p. 1
Fixed Income Risk Factors	p. 5
Different Ways of Measuring Risk	p. 6
The "Big 4" Risk Factors for Active Fixed Income and Total Return	p. 7
"Structural" Approach to Investing	p. 11
Looking Back, Looking Forward	p. 18
Building Blocks	p. 25
Option-Based Approach to Risk and Relative Value	p. 25
Forward Pricing	p. 31
Asset Swaps	p. 44
Valuation Using Scenario Analysis	p. 46
Betas: Risk Adjustment and Portfolio Aggregation	p. 52
Portfolio Structure	p. 57
Understanding Carry	p. 58
Understanding the Butterfly Strategy	p. 62
Convexity and Time Decay	p. 64
Extracting Risk Premium	p. 68
Structural Value in Mortgage Rolls	p. 74
Structural Value in Futures Contracts	p. 79
Swaps and Structural Alpha	p. 80
Structural Value in CDS Basis Trades	p. 82
Mean Reversion: Structural Value of Direct Option Sales	p. 84
Structural Value in Municipal Bonds	p. 87
Volatility and Currency Carry Trades	p. 89
Interaction of Foreign Exchange and Rates Markets	p. 104
Caveat Emptor	p. 107
Macro Considerations	p. 117
Macroeconomics of Model Building	p. 119
Macro Drivers of Correlation Risk in Credit Markets	p. 149
Risk Management with Macro Views: Forecasting Betas	p. 160
New Macro: Modeling When the Government Is a Participant	p. 167
Replication	p. 175
Leverage with Futures Contracts	p. 175
Replication	p. 176
Fixed Income ETFs	p. 184
Stress Testing and Tail Risk Management	p. 189
Stress Testing	p. 190
Tail Risk Management	p. 210
The Behavior of Volatility	p. 223
Bonds in a Portfolio Setting	p. 231
Asset Allocation	p. 232
Equity Risks in Bond Portfolios	p. 262
Portfolio Tail Risk	p. 266
Holdings under Leverage Constraints	p. 271
Epilogue	p. 277
References	p. 279
Index	p. 283
Table of Contents provided by Ingram. All Rights Reserved.

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Bond Portfolio Investing and Risk Management

Bond Portfolio Investing and Risk Management

0071623701

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