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Bond Portfolio Investing and Risk Management

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Excess returns or yields do not come without risk. Bond Portfolio Investing and Risk Management delves comprehensively, but intuitively, into the various risk factors and delivers the tools to understand, measure, control, and take advantage of risk premiums in practical fixed income investing. As the financial crisis has made all too clear, this book's unifying treatment of risk and return is essential for all bond investors." - Andrew Ang, Ann F. Kaplan Professor of Business, Columbia Business School "This moves instantly to the top of my recommended list of important reading for concept-oriented fixed income investors. Profit by learning how a true expert makes risk-return trade-offs when constructing portfolios of bonds and related derivatives." - Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "Vineer Bhansali combines the mathematical rigor of a trained physicist with the commonsense wisdom of a school-of-hard-knocks practitioner to deliver a unique prism into the world of bond investment and risk management post the Financial Crisis. The book is not just valuable, but extremely timely. You won't want to read it quickly, but slowly and thoughtfully, as it is an analytical mosaic, not simply a well-written narrative, even though it is indeed that. Bravo, Vineer!" - Paul McCulley, Managing Director, PIMCO "Drawing on his years of experience as a portfolio manage, his knowledge of and contributions to the academic literature, and his quantitative training, Bhansali bridges the gap between book knowledge and the practicalities of successful, long-term investing. By focusing attention on big-picture questions that are often forgotten in the course of portfolio 'optimization'-Which options are you short? Who else is in the trade? What will happen in a liquidity-stress scenario?this book will help asset managers to improve the risk-return characteristics of their portfolios and to avert disasters