(Ebook PDF) BlackRock’s Guide to Fixed Income Risk Management 1st edition by Bennett Golub 1119884888 9781119884880 full chapters

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ISBN-10 :  1119884888 

ISBN-13 :  9781119884880

Author : Bennett W. Golub 

Edited by a co-founder and the former Chief Risk Officer of BlackRock–the world’s largest asset manager–BlackRock’s Guide to Fixed-Income Risk Management delivers an insightful blueprint to the implementation of a comprehensive investment risk management framework for buy-side firms. Leveraging the unprecedented academic and professional experience of current and former senior leaders in BlackRock’s risk and portfolio management functions, as well as trading, financial modeling, and analytics experts, the book serves a practitioner’s guide to investment risk management, leveraging BlackRock’s risk management framework.

BlackRock’s Guide to Fixed-Income Risk Management 1st Table of contents:

SECTION I: An Approach to Fixed‐Income Investment Risk Management
CHAPTER 1: An Investment Risk Management Paradigm
1.1 INTRODUCTION
1.2 ELEMENTS OF RISK MANAGEMENT
1.3 BLACKROCK’S INVESTMENT AND RISK MANAGEMENT APPROACH
1.4 INTRODUCTION TO THE BLACKROCK INVESTMENT RISK MANAGEMENT PARADIGM
NOTES
CHAPTER 2: Parametric Approaches to Risk Management
2.1 INTRODUCTION
2.2 MEASURING INTEREST RATE EXPOSURE: ANALYTICAL APPROACHES
2.3 MEASURING INTEREST RATE EXPOSURE: EMPIRICAL APPROACHES
2.4 MEASURING YIELD CURVE EXPOSURE
2.5 MEASURING AND MANAGING VOLATILITY RELATED RISKS
2.6 MEASURING CREDIT RISK
2.7 MEASURING MORTGAGE‐RELATED RISKS
2.8 MEASURING IMPACT OF TIME
NOTES
CHAPTER 3: Modeling Yield Curve Dynamics
3.1 PROBABILITY DISTRIBUTIONS OF SYSTEMATIC RISK FACTORS
3.2 PRINCIPAL COMPONENT ANALYSIS: THEORY AND APPLICATIONS
3.3 PROBABILITY DISTRIBUTIONS OF INTEREST RATE SHOCKS
NOTES
CHAPTER 4: Portfolio Risk: Estimation and Decomposition
4.1 INTRODUCTION
4.2 PORTFOLIO VOLATILITY AND FACTOR STRUCTURE
4.3 COVARIANCE MATRIX ESTIMATION
4.4 EX ANTE RISK AND VAR METHODOLOGIES
4.5 INTRODUCTION TO RISK DECOMPOSITION
4.6 ALTERNATIVE APPROACHES TO RISK DECOMPOSITION
4.7 RISK DECOMPOSITION USING CTR
4.8 RISK DECOMPOSITION THROUGH TIME
4.9 RISK DECOMPOSITION: SUMMARY
APPENDIX A. EHVAR: IDIOSYNCRATIC RISK ESTIMATION
APPENDIX B. EHVAR: AGGREGATION
NOTES
CHAPTER 5: Market‐Driven Scenarios: An Approach for Plausible Scenario Construction
5.1 INTRODUCTION
5.2 IMPLIED STRESS TESTING FRAMEWORK
5.3 DEVELOPING USEFUL SCENARIOS
5.4 A MARKET‐DRIVEN SCENARIO EXAMPLE: BREXIT
5.5 CONCLUSION
APPENDIX: DECOMPOSITION OF SCENARIO Z‐SCORE
NOTES
CHAPTER 6: A Framework to Quantify and Price Geopolitical Risks
6.1 INTRODUCTION
6.2 SETTING THE SCENE
6.3 BLACKROCK’S FRAMEWORK FOR ANALYZING GEOPOLITICAL RISKS
6.4 GLOBAL TRADE DEEP DIVE
6.5 WHAT IS ALREADY PRICED IN?
6.6 TAKING ACTION
6.7 CAVEATS AND CAUTIONS
NOTES
CHAPTER 7: Liquidity Risk Management
7.1 INTRODUCTION
7.2 A BRIEF HISTORY OF LIQUIDITY RISK MANAGEMENT
7.3 A FUND LIQUIDITY RISK FRAMEWORK
7.4 ASSET LIQUIDITY
7.5 REDEMPTION RISK
7.6 LIQUIDITY STRESS TESTING
7.7 EXTRAORDINARY MEASURES
7.8 FIXED‐INCOME DATA AVAILABILITY LIMITATIONS
7.9 CONCLUSION
NOTES
CHAPTER 8: Using Portfolio Optimization Techniques to Manage Risk
8.1 RISK MEASUREMENT VERSUS RISK MANAGEMENT
8.2 TYPICAL FIXED‐INCOME HEDGES
8.3 PARAMETRIC HEDGING TECHNIQUES
8.4 GENERALIZED APPROACH TO HEDGING
8.5 ADVANCED PORTFOLIO OPTIMIZATION AND RISK MANAGEMENT TECHNIQUES
NOTES
CHAPTER 9: Risk Governance
9.1 INTRODUCTION
9.2 RISK SCAN STANDARD FRAMEWORK
9.3 RISK AND PERFORMANCE TARGET (RPT) FRAMEWORK
9.4 GOVERNANCE
NOTES
CHAPTER 10: Risk‐Return Awareness and Behavioral Finance
10.1 INTRODUCTION
10.2 PORTFOLIO AND RISK MANAGER PARTNERSHIP
10.3 BEHAVIORAL RISK MANAGEMENT FOR FIXED INCOME
10.4 DECISION‐MAKING ANALYTICS
10.5 INVESTMENT PROCESS
10.6 CONCLUSION
NOTES
CHAPTER 11: Performance Attribution
11.1 INTRODUCTION
11.2 BRINSON ATTRIBUTION AND BEYOND
11.3 FACTOR‐BASED ATTRIBUTION
11.4 EQUITY FUNDAMENTAL FACTOR‐BASED ATTRIBUTION
NOTES
CHAPTER 12: Performance Analysis
12.1 INTRODUCTION
12.2 PERFORMANCE GOVERNANCE
12.3 PERFORMANCE METRICS
12.4 CONCLUSION
NOTES
CHAPTER 13: Evolving the Risk Management Paradigm
13.1 INTRODUCTION
13.2 TRADITIONAL BUY‐SIDE RISK MANAGEMENT FRAMEWORK
13.3 EVOLVING THE IRMP: IN PURSUIT OF INVESTMENT RISK MANAGEMENT AT SCALE
13.4 RISK GOVERNANCE
13.5 SUPPORTING RISK GOVERNANCE THROUGH TECHNOLOGY
13.6 IMPLEMENTING A RISK GOVERNANCE FRAMEWORK THROUGH ALADDIN
13.7 ALADDIN’S RISK RADAR EXAMPLE
13.8 CONCLUSION
NOTES
SECTION II: Fixed‐Income Risk Management—Then and Now
CHAPTER 14: The Modernization of the Bond Market
14.1 CHARTING THE EVOLUTION OF BOND MARKETS
14.2 THE DEVELOPMENT OF AN INDEX‐BASED ECOSYSTEM
14.3 IMPLICATIONS FOR INVESTING, PORTFOLIO MANAGEMENT, AND RISK MANAGEMENT
14.4 THE FUTURE STATE OF PORTFOLIO CONSTRUCTION
14.5 CONCLUSION
NOTES
CHAPTER 15: The LIBOR Transition
15.1 INTRODUCTION
15.2 IMPLICATIONS TO PORTFOLIO AND RISK MANAGEMENT
15.3 SHIFT FROM LIBOR TO SOFR
15.4 RISK MANAGEMENT IMPACT AND COORDINATION
15.5 REFLECTIONS ON A BENCHMARK REFORMS
NOTES
CHAPTER 16: Derivatives Reform: The Rise of Swap Execution Facilities and Central Counterparties
16.1 THE CALL FOR CHANGE: 2008 GLOBAL FINANCIAL CRISIS
16.2 THE VALUE OF DERIVATIVES IN FIXED‐INCOME PORTFOLIOS
16.3 TRADING FIXED‐INCOME DERIVATIVES: THE RISE OF SEFs
16.4 CLEARING FIXED‐INCOME DERIVATIVES: THE RISE OF CCPs
16.5 CCP RISK MITIGATION TECHNIQUES
16.6 THE CALL FOR CHANGE: MARKET PARTICIPANTS ASK FOR STRONGER CCPs
16.7 CONCLUSION
NOTES
SECTION III: Lessons from the Credit Crisis and Coronavirus Pandemic
CHAPTER 17: Risk Management Lessons Worth Remembering from the Credit Crisis of 2007–2009
17.1 INTRODUCTION
17.2 THE PARAMOUNT IMPORTANCE OF LIQUIDITY
17.3 INVESTORS IN SECURITIZED PRODUCTS NEED TO LOOK PAST THE DATA TO THE UNDERLYING BEHAVIOR OF THE ASSETS
17.4 CERTIFICATION IS USELESS DURING SYSTEMIC EVENTS
17.5 MARKET RISK CAN CHANGE DRAMATICALLY
17.6 THE CHANGING NATURE OF MARKET RISK
17.7 BY THE TIME A CRISIS STRIKES, IT’S TOO LATE TO START PREPARING
17.8 CONCLUSION
NOTES
CHAPTER 18: Reflections on Buy‐Side Risk Management After (or Between) the Storms
18.1 INTRODUCTION
18.2 RISK MANAGEMENT REQUIRES INSTITUTIONAL BUY‐IN
18.3 THE ALIGNMENT AND MANAGEMENT OF INSTITUTIONAL INTERESTS
18.4 GETTING RISK TAKERS TO THINK LIKE RISK MANAGERS
18.5 INDEPENDENT RISK MANAGEMENT ORGANIZATIONS
18.6 CLEARLY DEFINE FIDUCIARY OBLIGATIONS
18.7 BOTTOM‐UP RISK MANAGEMENT
18.8 RISK MODELS REQUIRE CONSTANT VIGILANCE
18.9 RISK MANAGEMENT DOES NOT MEAN RISK AVOIDANCE
NOTES
CHAPTER 19: Lessons Worth Considering from the COVID‐19 Crisis
19.1 INTRODUCTION
19.2 BACKGROUND
19.3 CORE PRINCIPLES UNDERPINNING RECOMMENDATIONS
19.4 MARCH 2020: CAPITAL MARKETS HIGHLIGHTS AND OFFICIAL SECTOR INTERVENTION
19.5 COVID‐19 LESSONS: WHAT WORKED AND WHAT NEEDS TO BE ADDRESSED
19.6 RECOMMENDATIONS TO ENHANCE THE RESILIENCE OF CAPITAL MARKETS
19.7 CONCERNS WITH MACROPRUDENTIAL CONTROLS
19.8 CONCLUSION
19.9 POSTSCRIPT

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