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CITATION

Bhansali, Vineer. TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets. US: McGraw-Hill, 2013.

TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets

Authors: Vineer Bhansali

Published:  December 2013

eISBN: 9780071791762 0071791760 | ISBN: 9780071791755
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  • Cover
  • Title Page
  • Copyright Page
  • Contents
  • Foreword
  • Introduction
  • Acknowledgments
  • Chapter 1 Introduction to Tail Risk and Tail Risk Management
  • Lessons Learned
  • Distressed Liquidation and Failure of Diversification
  • Chapter 2 Basics: Tail Risk Hedging for Defense
  • Formal Derivation of Portfolio Hedges Using Factor Hedges
  • Rolling Tail Hedges
  • Benchmarking Tail Risk Management
  • Cash Versus Explicit Tail Hedging
  • Chapter 3 Offensive Tail Risk Hedging
  • A Model to Compute the Value of Tail Hedging
  • Model Calibration
  • Chapter 4 Active Tail Risk Management
  • Creating a Long History
  • Active Monetization Rules
  • Chapter 5 Indirect Hedging and Basis Risk
  • Quantifying Basis Risk
  • Hedge Matching at the Attachment Point
  • “Soft” Indirects: Comparing Puts versus Put Spreads
  • Basis Risk from Correlated Asset Classes
  • Chapter 6 Other Tail Risk Management Strategies
  • Tail Risk Hedging versus Asset Allocation in a Multimodal World
  • The Hedging Value in Trends and Momentum
  • A Look at the Risks and Rewards of Costless Collars
  • Variance Swaps and Direct Volatility-Based Hedging
  • Dynamic Hedging
  • Chapter 7 A Behavioral Perspective on Tail Risk Hedging
  • Narrow Framing and Tail Risk Hedging
  • Pricing of Put Options on a Standalone Basis
  • Multiple Equilibria and Expected Returns on Tail Hedges
  • Precommitment and Procyclicality
  • Chapter 8 Tail Risk Hedging for Retirement Investments
  • Chapter 9 Inflation and Duration Tail Risk Hedging
  • Hedging at the Money Inflation versus Inflation Tails
  • Tail Hedging Realized Inflation versus Inflation Expectations
  • Inflation Dynamics and Inflation Spikes
  • Framework for Inflation Tail Hedging
  • Benchmarking Inflation Tail Hedges
  • Pricing of Inflation Options
  • Options on CPI
  • Options on the Breakeven Inflation Rate
  • Indirect Inflation Tail Risk Hedging and Basis Risk
  • Pricing of Tail Interest-Rate Swaptions
  • Indirect Hedges
  • Example of Gold Options as Proxy Tail Hedge
  • Notes
  • Bibliography
  • Index