Tail risk hedging: creating robust portfolios for volatile markets
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York
Mac Graw Hill Education
2014
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references (pages 225-233) and index |
| Physical Description: | XX, 251 Seiten Diagramme 23 cm |
| ISBN: | 9780071791755 0071791752 |
Staff View
MARC
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| 245 | 1 | 0 | |a Tail risk hedging |b creating robust portfolios for volatile markets |c Vineer Bhansali |
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Record in the Search Index
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| adam_text | Contents
Foreword by
Mohamed El-Erian
xi
Introduction
xv
Acknowledgments
xix
Chapter
1
Introduction to Tail Risk and Tail
Risk Management
1
Lessons Learned I
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
VU
νίϋ
Contents
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
Prečommitment
and Procyclicaliry
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 Inflarion Tail Hedges
211
Pricing of Inflation Options
212
Options on
CPI
212
Options on the Breakeven Inflation Rate
215
Contents ix
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
|
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:11:18Z |
| institution | BVB |
| isbn | 9780071791755 0071791752 |
| language | English |
| lccn | 013034580 |
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| physical | XX, 251 Seiten Diagramme 23 cm |
| publishDate | 2014 |
| publishDateSearch | 2014 |
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| publisher | Mac Graw Hill Education |
| record_format | marc |
| spelling | Bhansali, Vineer Verfasser aut Tail risk hedging creating robust portfolios for volatile markets Vineer Bhansali New York Mac Graw Hill Education 2014 XX, 251 Seiten Diagramme 23 cm txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references (pages 225-233) and index BUSINESS & ECONOMICS / Corporate Finance bisacsh Wirtschaft Hedging (Finance) Financial risk management Business cycles Risk management BUSINESS & ECONOMICS / Corporate Finance Risikomanagement (DE-588)4121590-4 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Hedging (DE-588)4123357-8 s Konjunkturzyklus (DE-588)4032134-4 s Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s b DE-604 Erscheint auch als Online-Ausgabe 978-0-07-179176-2 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027486938&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bhansali, Vineer Tail risk hedging creating robust portfolios for volatile markets BUSINESS & ECONOMICS / Corporate Finance bisacsh Wirtschaft Hedging (Finance) Financial risk management Business cycles Risk management BUSINESS & ECONOMICS / Corporate Finance Risikomanagement (DE-588)4121590-4 gnd Hedging (DE-588)4123357-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4123357-8 (DE-588)4046834-3 (DE-588)4032134-4 |
| title | Tail risk hedging creating robust portfolios for volatile markets |
| title_auth | Tail risk hedging creating robust portfolios for volatile markets |
| title_exact_search | Tail risk hedging creating robust portfolios for volatile markets |
| title_full | Tail risk hedging creating robust portfolios for volatile markets Vineer Bhansali |
| title_fullStr | Tail risk hedging creating robust portfolios for volatile markets Vineer Bhansali |
| title_full_unstemmed | Tail risk hedging creating robust portfolios for volatile markets Vineer Bhansali |
| title_short | Tail risk hedging |
| title_sort | tail risk hedging creating robust portfolios for volatile markets |
| title_sub | creating robust portfolios for volatile markets |
| topic | BUSINESS & ECONOMICS / Corporate Finance bisacsh Wirtschaft Hedging (Finance) Financial risk management Business cycles Risk management BUSINESS & ECONOMICS / Corporate Finance Risikomanagement (DE-588)4121590-4 gnd Hedging (DE-588)4123357-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
| topic_facet | BUSINESS & ECONOMICS / Corporate Finance Wirtschaft Hedging (Finance) Financial risk management Business cycles Risk management Risikomanagement Hedging Portfolio Selection Konjunkturzyklus |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027486938&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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