TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets (Anglais) Relié – 1 décembre 2013
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Description du produit
Présentation de l'éditeur
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.
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Commentaires client les plus utiles sur Amazon.com
I try routinely to keep up with the major academic and practitioner research in the area of risk management, theory and practice. As a consequence, I have read more than a a few books about tail risk hedging. They are generally written after a crash reminds a new generation of skeptics that, yes, some day you might see a black swan. (Which means that you better be ready to see a neon pink one, too.) Most of these books are technically competent. Occasionally one is well written and clear. But getting the math right does not mean that the author understands the material at an intuitive level. That takes practical, hands-on-the-controls experience that few quants have.
Who should read this book? Read it if you design tail risk hedges, of course. Read it if you are starting out, and want to learn how it is done. And also read it if you rely on someone else to design your tail hedge. It will help you to understand why it is structured as it is, what the hedge can do, what its limitations are, and how it can be customized to tilt in the direction of protecting against the event risks you think are the most threatening.
Each emergency is different, and yet each one is the same. They don't teach a student pilot how to recover from a spin by describing the fluid mechanics of a stall. They put you beside an instructor. A stochastic differental equation just doesn't capture what an experienced flight instructor might blandly call an "unusual attitude."
If I were learning how to recover an airplane that seemed about to lose a wing -- "It just happened! All of a sudden! For no reason at all!" -- I would hope that someone who had done this a few times before was sitting beside me, ready to take over. And when we had landed safely, I would want that same person to be the one to explain to me why there actually was a reason for what seemed to me to be "no reason at all!". Then I would ask what I should do to prepare for the next big moment, and most importantly, what I could do to make that moment of terror less likely to happen again.
If I couldn't monopolize that instructor's time, I would ask her to write this kind of book, and hope she could write clearly as Bahnsali does.
You never forget your first, but you only get to remember it if you survive it. Bhansali has obviously been there. He is rigorous, but also clear. He is the right guy to explain how to prepare for an event that you cannot precisely predict or precisely describe in advance. This book tells you what you how to prepare, and how to calculate how much being prepared will likely cost -- the insurance premium -- why you should do it anyway, and how to get the most bang for your hedging buck. He even explains how a chaotic market can be a blessing. On the day when everybody else is sweating margin calls, and dumping anything that is still liquid enough to be sold, wouldn't you want to be the portfolio manager sitting on a tidy little pile of cash that had been generated by a tail event hedge?
If you are going to read one book to show you how to be that "lucky" manager, you might as well read the best book on the topic. Luck happens when you are prepared. This is the best book to read if you want to be lucky.
Dr. Bhansali's book is unique. There is no book prior to this one on the market that go through hedging decision in a systematic matter. As an advisor to CFOs on hedging strategies, I highly recommend this book, not just for CFOs, but also for money managers, quants and finance students.
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