Bond Portfolio Investing and Risk Management  - A Quantitative Approach
By  Vineer Bhansali


Date  August 19, 2010


Hardback, 352 pages

ISBN  0071623701 / 9780071623704



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 manager Vineer 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 portfolio construction. 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 markets
• Cross-market relationships
• Forecasting returns and risks
• Measuring and managing tail risk

Bond Portfolio Investing and Risk Management simplifies the concepts you need to understand--without making them simplistic. It offers the newest research-based frameworks for approaching the risks with the greatest likelihood to pay off and walking away from those that won't. While state of the art in its content, the book emphasizes a commonsense approach that has weathered the test of time and market volatility. From one of the most knowledgeable people in the business, Bond Portfolio Investing and Risk Management may be the most thorough, up-to-date book you will find for constructing highly effective toolkits faster and better than ever before.
Table of contentsChapter 1: Risk and Total Return
Chapter 2: Building Blocks
Chapter 3: Portfolio Structure
Chapter 4: Macro Considerations
Chapter 5: Replication
Chapter 6: Stress Testing and Tail Risk Management
Biographical noteVineer Bhansali , Ph.D., managing director and portfolio manager at PIMCO, oversees PIMCO's quantitative
investment portfolios. Prior to joining PIMCO, he was a
proprietary 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 trading
desk 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.