{"product_id":"blackrocks-guide-to-fixedincome-risk-management-9781119884873","title":"BlackRocks Guide to FixedIncome Risk Management","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eAn irreplaceable roadmap to modern risk management fromrenowned experts on the subject Edited by a co-founder and the former Chief Risk Officer of BlackRockthe world's largest asset managerBlackRock'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. The included chapters combine to provide chief investment officers, risk managers, portfolio managers, researchers, and compliance professionals an approach to investment risk management well-suited for today's and tomorrow's markets.The book also presents: Critical elements that underpin a strong risk management program and cultureFixed income risk management concepts and theories that can be applied to other asset classesLessons learned fromfinancial crises and the COVID-19 Pandemic Ideal for undergraduate students and students and scholars of business, finance, and risk management, BlackRock's Guide to Fixed-Income Risk Management is a one-of-a-kind combination of modern theory with proven, practical risk management strategies.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eFrequently Used Abbreviations xvii\u003c\/p\u003e \u003cp\u003eForeword xxi\u003c\/p\u003e \u003cp\u003ePreface xxiii\u003c\/p\u003e \u003cp\u003eAcknowledgments xxxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSECTION I An Approach to Fixed-Income Investment Risk Management 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 An Investment Risk Management Paradigm 3\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub and Rick Flynn\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 3\u003c\/p\u003e \u003cp\u003e1.2 Elements of Risk Management 4\u003c\/p\u003e \u003cp\u003e1.3 BlackRock’s Investment and Risk Management Approach 6\u003c\/p\u003e \u003cp\u003e1.4 Introduction to the BlackRock Investment Risk Management Paradigm 7\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Parametric Approaches to Risk Management 11\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub and Leo M. Tilman\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 11\u003c\/p\u003e \u003cp\u003e2.2 Measuring Interest Rate Exposure: Analytical Approaches 12\u003c\/p\u003e \u003cp\u003e2.3 Measuring Interest Rate Exposure: Empirical Approaches 30\u003c\/p\u003e \u003cp\u003e2.4 Measuring Yield Curve Exposure 34\u003c\/p\u003e \u003cp\u003e2.5 Measuring and Managing Volatility Related Risks 40\u003c\/p\u003e \u003cp\u003e2.6 Measuring Credit Risk 47\u003c\/p\u003e \u003cp\u003e2.7 Measuring Mortgage-Related Risks 50\u003c\/p\u003e \u003cp\u003e2.8 Measuring Impact of Time 52\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Modeling Yield Curve Dynamics 59\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub and Leo M. Tilman\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e3.1 Probability Distributions of Systematic Risk Factors 59\u003c\/p\u003e \u003cp\u003e3.2 Principal Component Analysis: Theory and Applications 61\u003c\/p\u003e \u003cp\u003e3.3 Probability Distributions of Interest Rate Shocks 75\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Portfolio Risk: Estimation and Decomposition 81\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eAmandeep Dhaliwal and Tom Booker\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 81\u003c\/p\u003e \u003cp\u003e4.2 Portfolio Volatility and Factor Structure 83\u003c\/p\u003e \u003cp\u003e4.3 Covariance Matrix Estimation 85\u003c\/p\u003e \u003cp\u003e4.4 Ex Ante Risk and VaR Methodologies 93\u003c\/p\u003e \u003cp\u003e4.5 Introduction to Risk Decomposition 103\u003c\/p\u003e \u003cp\u003e4.6 Alternative Approaches to Risk Decomposition 104\u003c\/p\u003e \u003cp\u003e4.7 Risk Decomposition Using CTR 108\u003c\/p\u003e \u003cp\u003e4.8 Risk Decomposition Through Time 116\u003c\/p\u003e \u003cp\u003e4.9 Risk Decomposition: Summary 119\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Market-Driven Scenarios: An Approach for Plausible Scenario Construction 125\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub, David Greenberg, and Ronald Ratcliffe\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 125\u003c\/p\u003e \u003cp\u003e5.2 Implied Stress Testing Framework 127\u003c\/p\u003e \u003cp\u003e5.3 Developing Useful Scenarios 134\u003c\/p\u003e \u003cp\u003e5.4 A Market-Driven Scenario Example: Brexit 136\u003c\/p\u003e \u003cp\u003e5.5 Conclusion 142\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 A Framework to Quantify and Price Geopolitical Risks 145\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eCatherine Kress, Carl Patchen, Ronald Ratcliffe, Eric Van Nostrand, and Kemin Yang\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 145\u003c\/p\u003e \u003cp\u003e6.2 Setting the Scene 146\u003c\/p\u003e \u003cp\u003e6.3 BlackRock’s Framework for Analyzing Geopolitical Risks 149\u003c\/p\u003e \u003cp\u003e6.4 Global Trade Deep Dive 149\u003c\/p\u003e \u003cp\u003e6.5 What Is Already Priced In? 153\u003c\/p\u003e \u003cp\u003e6.6 Taking Action 156\u003c\/p\u003e \u003cp\u003e6.7 Caveats and Cautions 159\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Liquidity Risk Management 163\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub, Philip Sommer, Stefano Pasquali, Michael Huang, Kristen Walters, and Nikki Azznara\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 163\u003c\/p\u003e \u003cp\u003e7.2 A Brief History of Liquidity Risk Management 164\u003c\/p\u003e \u003cp\u003e7.3 A Fund Liquidity Risk Framework 166\u003c\/p\u003e \u003cp\u003e7.4 Asset Liquidity 166\u003c\/p\u003e \u003cp\u003e7.5 Redemption Risk 169\u003c\/p\u003e \u003cp\u003e7.6 Liquidity Stress Testing 170\u003c\/p\u003e \u003cp\u003e7.7 Extraordinary Measures 171\u003c\/p\u003e \u003cp\u003e7.8 Fixed-Income Data Availability Limitations 171\u003c\/p\u003e \u003cp\u003e7.9 Conclusion 181\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Using Portfolio Optimization Techniques to Manage Risk 183\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eAlex Ulitsky, Bennett W. Golub, Leo M. Tilman, and Jack Hattem\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e8.1 Risk Measurement Versus Risk Management 183\u003c\/p\u003e \u003cp\u003e8.2 Typical Fixed-Income Hedges 185\u003c\/p\u003e \u003cp\u003e8.3 Parametric Hedging Techniques 187\u003c\/p\u003e \u003cp\u003e8.4 Generalized Approach to Hedging 189\u003c\/p\u003e \u003cp\u003e8.5 Advanced Portfolio Optimization and Risk Management Techniques 207\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Risk Governance 219\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction 219\u003c\/p\u003e \u003cp\u003e9.2 Risk Scan Standard Framework 219\u003c\/p\u003e \u003cp\u003e9.3 Risk and Performance Target (RPT) Framework 221\u003c\/p\u003e \u003cp\u003e9.4 Governance 223\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Risk-Return Awareness and Behavioral Finance 225\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eEmily Haisley and Nicky Lai\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction 225\u003c\/p\u003e \u003cp\u003e10.2 Portfolio and Risk Manager Partnership 226\u003c\/p\u003e \u003cp\u003e10.3 Behavioral Risk Management for Fixed Income 227\u003c\/p\u003e \u003cp\u003e10.4 Decision-Making Analytics 229\u003c\/p\u003e \u003cp\u003e10.5 Investment Process 235\u003c\/p\u003e \u003cp\u003e10.6 Conclusion 241\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Performance Attribution 243\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eReade Ryan and Carol Yu\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 243\u003c\/p\u003e \u003cp\u003e11.2 Brinson Attribution and Beyond 244\u003c\/p\u003e \u003cp\u003e11.3 Factor-Based Attribution 252\u003c\/p\u003e \u003cp\u003e11.4 Equity Fundamental Factor-Based Attribution 256\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 Performance Analysis 259\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eMark Paltrowitz, Mark Temple-Jones, Viola Dunne, and Christopher Calingo\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction 259\u003c\/p\u003e \u003cp\u003e12.2 Performance Governance 260\u003c\/p\u003e \u003cp\u003e12.3 Performance Metrics 260\u003c\/p\u003e \u003cp\u003e12.4 Conclusion 266\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 13 Evolving the Risk Management Paradigm 267\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub, Michael Huang, and Joe Buehlmeyer\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction 267\u003c\/p\u003e \u003cp\u003e13.2 Traditional Buy-Side Risk Management Framework 268\u003c\/p\u003e \u003cp\u003e13.3 Evolving the IRMP: In Pursuit of Investment Risk Management at Scale 268\u003c\/p\u003e \u003cp\u003e13.4 Risk Governance 270\u003c\/p\u003e \u003cp\u003e13.5 Supporting Risk Governance Through Technology 270\u003c\/p\u003e \u003cp\u003e13.6 Implementing a Risk Governance Framework Through Aladdin 271\u003c\/p\u003e \u003cp\u003e13.7 Aladdin's Risk Radar Example 271\u003c\/p\u003e \u003cp\u003e13.8 Conclusion 276\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSECTION II Fixed-Income Risk Management—Then and Now 277\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 14 The Modernization of the Bond Market 279\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eDaniel Veiner, Stephen Laipply, Carolyn Weinberg, Samara Cohen, Vasiliki Pachatouridi, and Hui Sien Koay\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e14.1 Charting the Evolution of Bond Markets 279\u003c\/p\u003e \u003cp\u003e14.2 The Development of an Index-Based Ecosystem 285\u003c\/p\u003e \u003cp\u003e14.3 Implications for Investing, Portfolio Management, and Risk Management 289\u003c\/p\u003e \u003cp\u003e14.4 The Future State of Portfolio Construction 290\u003c\/p\u003e \u003cp\u003e14.5 Conclusion 290\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 15 The LIBOR Transition 293\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eJack Hattem\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction 293\u003c\/p\u003e \u003cp\u003e15.2 Implications to Portfolio and Risk Management 295\u003c\/p\u003e \u003cp\u003e15.3 Shift from LIBOR to SOFR 295\u003c\/p\u003e \u003cp\u003e15.4 Risk Management Impact and Coordination 297\u003c\/p\u003e \u003cp\u003e15.5 Reflections on a Benchmark Reforms 298\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 16 Derivatives Reform: The Rise of Swap Execution Facilities and Central Counterparties 301\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eEileen Kiely and Jack Hattem\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e16.1 The Call for Change: 2008 Global Financial Crisis 301\u003c\/p\u003e \u003cp\u003e16.2 The Value of Derivatives in Fixed-Income Portfolios 302\u003c\/p\u003e \u003cp\u003e16.3 Trading Fixed-Income Derivatives: The Rise of SEFs 304\u003c\/p\u003e \u003cp\u003e16.4 Clearing Fixed-Income Derivatives: The Rise of CCPs 305\u003c\/p\u003e \u003cp\u003e16.5 CCP Risk Mitigation Techniques 306\u003c\/p\u003e \u003cp\u003e16.6 The Call for Change: Market Participants Ask for Stronger CCPs 308\u003c\/p\u003e \u003cp\u003e16.7 Conclusion 311\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSECTION III Lessons from the Credit Crisis and Coronavirus Pandemic 313\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 17 Risk Management Lessons Worth Remembering from the Credit Crisis of 2007–2009 315\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub and Conan Crum\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e17.1 Introduction 315\u003c\/p\u003e \u003cp\u003e17.2 The Paramount Importance of Liquidity 316\u003c\/p\u003e \u003cp\u003e17.3 Investors in Securitized Products Need to Look Past the Data to the Underlying Behavior of the Assets 326\u003c\/p\u003e \u003cp\u003e17.4 Certification Is Useless During Systemic Events 331\u003c\/p\u003e \u003cp\u003e17.5 Market Risk Can Change Dramatically 332\u003c\/p\u003e \u003cp\u003e17.6 The Changing Nature of Market Risk 336\u003c\/p\u003e \u003cp\u003e17.7 By the Time a Crisis Strikes, It’s Too Late to Start Preparing 337\u003c\/p\u003e \u003cp\u003e17.8 Conclusion 338\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 18 Reflections on Buy-Side Risk Management After (or Between) the Storms 341\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBennett W. Golub and Conan Crum\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e18.1 Introduction 341\u003c\/p\u003e \u003cp\u003e18.2 Risk Management Requires Institutional Buy-In 341\u003c\/p\u003e \u003cp\u003e18.3 The Alignment and Management of Institutional Interests 342\u003c\/p\u003e \u003cp\u003e18.4 Getting Risk Takers to Think Like Risk Managers 345\u003c\/p\u003e \u003cp\u003e18.5 Independent Risk Management Organizations 345\u003c\/p\u003e \u003cp\u003e18.6 Clearly Define Fiduciary Obligations 347\u003c\/p\u003e \u003cp\u003e18.7 Bottom-Up Risk Management 348\u003c\/p\u003e \u003cp\u003e18.8 Risk Models Require Constant Vigilance 349\u003c\/p\u003e \u003cp\u003e18.9 Risk Management Does Not Mean Risk Avoidance 350\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 19 Lessons Worth Considering from the COVID-19 Crisis 353\u003c\/b\u003e\u003cbr\u003e\u003ci\u003eBarbara Novick, Joanna Cound, Kate Fulton, and Winnie Pun\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e19.1 Introduction 353\u003c\/p\u003e \u003cp\u003e19.2 Background 354\u003c\/p\u003e \u003cp\u003e19.3 Core Principles Underpinning Recommendations 354\u003c\/p\u003e \u003cp\u003e19.4 March 2020: Capital Markets Highlights and Official Sector Intervention 355\u003c\/p\u003e \u003cp\u003e19.5 COVID-19 Lessons: What Worked and What Needs to be Addressed 357\u003c\/p\u003e \u003cp\u003e19.6 Recommendations to Enhance the Resilience of Capital Markets 363\u003c\/p\u003e \u003cp\u003e19.7 Concerns with Macroprudential Controls 368\u003c\/p\u003e \u003cp\u003e19.8 Conclusion 369\u003c\/p\u003e \u003cp\u003e19.9 Postscript 369\u003c\/p\u003e \u003cp\u003eNotes 370\u003c\/p\u003e \u003cp\u003eBibliography 373\u003c\/p\u003e \u003cp\u003eAbout the Website 383\u003c\/p\u003e \u003cp\u003eAbout the Editor 385\u003c\/p\u003e \u003cp\u003eAbout the Contributors 387\u003c\/p\u003e \u003cp\u003eIndex 391\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49407182143831,"sku":"9781119884873","price":56.25,"currency_code":"GBP","in_stock":true}],"url":"https:\/\/bookcurl.com\/products\/blackrocks-guide-to-fixedincome-risk-management-9781119884873","provider":"Book Curl","version":"1.0","type":"link"}