Click Here To Purchase Bond Portfolio Investing and Risk Management


Author: Vineer Bhansali
Publisher: McGraw Hill
ISBN: 978-0-07-162370-4

Bond Portfolio Investing & Risk Management is targeted at institutional fixed income investors as a source book of practical investment techniques and tools not found in mainstream fixed income books.

Going beyond traditional fixed income concepts, the book looks at incorporation of economic variables directly in fixed income models, measuring liquidity and stress risk, and asset allocation.

The focus is on providing a framework to think about practical bond market concepts such as market anomalies, cross market relationships, forecasting cyclical returns and tail risk management.

Market risk premium and factors driving them such as shifts in yield curve, curve reshaping, spread changes, currency, prepayment and liquidity risks are described intuitively.
There is an excellent section on key lessons learnt in this context from the recent financial crisis.


After establishing a good foundation for fixed income instrument and portfolio analysis, the emphasis shifts to analyzing the building blocks including options, the repo markets, and swaps.

Structuring a portfolio in order to reflect the portfolio manager’s views is described starting with a basic but intuitive understanding of carry and butterfly strategies. Sources of risk premium and how to invest in them efficiently leads to a discussion in identifying value in mortgage rolls, swaps, CDS basis, and option trades.

A distinct manner in which this book is different from other approaches is the emphasis on macro considerations and how to incorporate such views more directly in fixed income models. The book examines common risk factors affecting fixed income returns and other sources including inter-mediation, liquidity/ risk transfer and mis-pricings.

In the final chapters of the book, there are a host of practical bond portfolio implementation issues that the book focuses on including replication of fixed income indices, leveraging using futures and using fixed income ETFs.

Stress testing and tail risk management has become even more important since the recent crisis. There is a clear and in-depth discussion about the key issues in making effective stress testing of portfolios including choosing shock magnitudes, time horizon and use of historical versus forward looking assumptions.

Bond Portfolio Investing & Risk Management is a great practical book on fixed income analysis and portfolio management. This book is strongly recommended for readers who want to go well beyond concepts and techniques in traditional fixed income books to focus on the realities of managing institutional fixed income portfolios.

Click Here To Purchase Bond Portfolio Investing and Risk Management