Tail risk management

Journal of Portfolio Management

Volumn 34, Issue 4, 2008, Pages

  Bhansali, Vineer ^a  

^a PIMCO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 50649104397     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2008.709982     Document Type: Article

References (11)

1. Bhansali, Vineer. "Markowitz Bites Back: The Failure of CAPM, Compression of Risky Asset Spreads, and the Path Back to Normalcy." PIMCO Viewpoints, 2007a.
2. _. "Putting Economics (Back) into Quantitative Models." Journal of Portfolio Management (Spring 2007b), pp. 63-76.
3. _. "Correlation Risk: What the Market Is Telling Us and Does It Make Sense?" in Credit Risk: Models, Development, and Management, ed. Niklas Wagner. Chapman and Hall/CRC Press, 2007c.
4. _. "Volatility and the Carry Trade." Journal of Fixed Income, Vol. 17, No. 3 (Winter 2007), pp. 72-84.
5. Bhansali, Vineer, Matthew Dorsten, and Mark Wise. "Asymmetric Monetary Policy Rules and the Yield Curve." Working paper, 2007. Available at www.ssrn.com.
6. Bhansali, Vineer, Robert Gingrich, and Francis Longstaff. "Systemic Risk: What Is the Market Telling Us?" Forthcoming in Financial Analysts Journal, 2008.
7. Bhansali, Vineer, and Mark Wise. "Forecasting Portfolio Risk in Normal and Stressed Markets." Journal of Risk, Vol. 4, No. 1 (Fall 2001).
8. Bookstaber, Richard. A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation. Hoboken, NJ: Wiley, 2007.
9. Fung, William, and David Hsieh. "The Risk of Hedge Fund Strategies: Theory and Evidence from Trend Followers." The Review of Financial Studies, Vol. 14, No. 2 (2001), pp. 313-341.
10. Khandani, Amir, and Andrew Lo. "What Happened to the Quants in August 2007?" Working paper, MIT (November 2007).
11. Longstaff Francis A, and Arvind Rajan. "An Emperical Analyzis of the Pricing of Collateralized Debt Obligations." Journal of Finance, Vol. 63, No. 2 (April 2008) pp. 529.