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TAIL RISIKOABSICHERUNG: Erstellen robuster Portfolios für volatile Märkte von Bhansali-
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Artikelmerkmale
- Artikelzustand
- Book Title
- TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Market
- Publication Date
- 2014-02-16
- ISBN
- 0071791752
- Subject Area
- Business & Economics
- Publication Name
- Tail Risk Hedging: Creating Robust Portfolios for Volatile Markets
- Publisher
- Mcgraw-Hill Education
- Item Length
- 9.3 in
- Subject
- Personal Finance / Investing, Economic History, Decision-Making & Problem Solving
- Publication Year
- 2014
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Item Height
- 1 in
- Item Weight
- 16.2 Oz
- Item Width
- 6.4 in
- Number of Pages
- 272 Pages
Über dieses Produkt
Product Identifiers
Publisher
Mcgraw-Hill Education
ISBN-10
0071791752
ISBN-13
9780071791755
eBay Product ID (ePID)
167939364
Product Key Features
Number of Pages
272 Pages
Publication Name
Tail Risk Hedging: Creating Robust Portfolios for Volatile Markets
Language
English
Publication Year
2014
Subject
Personal Finance / Investing, Economic History, Decision-Making & Problem Solving
Type
Textbook
Subject Area
Business & Economics
Format
Hardcover
Dimensions
Item Height
1 in
Item Weight
16.2 Oz
Item Length
9.3 in
Item Width
6.4 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2013-034580
Dewey Edition
23
Illustrated
Yes
Dewey Decimal
332.64524
Table Of Content
Foreword by Mohamed El-Erian xi Introduction xv Acknowledgments xix Chapter 1: Introduction to Tail Risk and Tail Risk Management 1 Lessons Learned 1 Distressed Liquidation and Failure of Diversification 18 Chapter 2: Basics- Tail Risk Hedging for Defense 25 Formal Derivation of Portfolio Hedges Using Factor Hedges 30 Rolling Tail Hedges 32 Benchmarking Tail Risk Management 37 Cash Versus Explicit Tail Hedging 43 Chapter 3 Offensive Tail Risk Hedging 51 A Model to Compute the Value of Tail Hedging 56 Model Calibration 57 Chapter 4: Active Tail Risk Management 71 Creating a Long History 78 Active Monetization Rules 84 Chapter 5: Indirect Hedging and Basis Risk 93 Quantifying Basis Risk 95 Hedge Matching at the Attachment Point 98 "Soft" Indirects: Comparing Puts versus Put Spreads 104 Basis Risk from Correlated Asset Classes 107 Chapter 6: Other Tail Risk Management Strategies 129 Tail Risk Hedging versus Asset Allocation in a Multimodal World 129 The Hedging Value in Trends and Momentum 134 A Look at the Risks and Rewards of Costless Collars 138 Variance Swaps and Direct Volatility-Based Hedging 141 Dynamic Hedging 146 Chapter 7: A Behavioral Perspective on Tail Risk Hedging 153 Narrow Framing and Tail Risk Hedging 154 Pricing of Put Options on a Standalone Basis 161 Multiple Equilibria and Expected Returns on Tail Hedges 165 Precommitment and Procyclicality 169 Chapter 8: Tail Risk Hedging for Retirement Investments 179 Chapter 9: Inflation and Duration Tail Risk Hedging 193 Hedging at the Money Inflation versus Inflation Tails 195 Tail Hedging Realized Inflation versus Inflation Expectations 198 Inflation Dynamics and Inflation Spikes 202 Framework for Inflation Tail Hedging 210 Benchmarking Inflation Tail Hedges 211 Pricing of Inflation Options 212 Options on CPI 212 Options on the Breakeven Inflation Rate 215 Indirect Inflation Tail Risk Hedging and Basis Risk 217 Pricing of Tail Interest-Rate Swaptions 219 Indirect Hedges 221 Example of Gold Options as Proxy Tail Hedge 222 Notes 225 Bibliography 231 Index 235
Synopsis
"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 is something 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's practical 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 and how 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 explores how to: Generate profits from volatility and illiquidity during tail-risk events in equity and credit markets Buy attractively priced tail hedges that add value to a portfolio and quantify basis risk Interpret the psychology of investors in option pricing and portfolio construction Customize explicit hedges for retirement investments Hedge risk factors such as duration risk and inflation risk Managing 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. Volatility and 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 anyone involved 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, "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 markets Buy attractively priced tail hedges that add value to a portfolio and quantify basis risk Interpret the psychology of investors in option pricing and portfolio construction Customize explicit hedges for retirement investments Hedge risk factors such as duration risk and inflation risk Managing 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
LC Classification Number
HG6024.A3
Copyright Date
2014
ebay_catalog_id
4
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