{{sellerTotalView > 1 ? __("sellers", {number: sellerTotalView}) : __("seller", {number: sellerTotalView}) }}, {{numTotalView > 1 ? __("items", {number: numTotalView}) : __("item", {number: numTotalView}) }}
free FREE

Change Your Zip Code

Inventory information and delivery speeds may vary for different locations.

Location History

{{email ? __('Got it!') : __('Restock Alert')}}

We will notify you by email when the item back in stock.

Cancel
Yami

Jingdong book

债券组合投资

{{buttonTypePin == 3 ? __("Scan to view more PinGo") : __("Scan to start")}}

债券组合投资

{{__(":people-members", {'people': item.limit_people_count})}} {{ itemCurrency }}{{ item.valid_price }} {{ itemCurrency }}{{ item.invalid_price }} {{ itemDiscount }}
Ends in
{{ itemCurrency }}{{ item.valid_price }}
{{ itemCurrency }}{{ priceFormat(item.valid_price / item.bundle_specification) }}/{{ item.unit }}
{{ itemDiscount }}
{{ itemCurrency }}{{ item.valid_price }} {{ itemCurrency }}{{ priceFormat(item.valid_price / item.bundle_specification) }}/{{ item.unit }} {{ itemCurrency }}{{ item.invalid_price }} {{itemDiscount}}
{{ itemCurrency }}{{ item.valid_price }}
Sale ends in
Sale will starts after Sale ends in
{{ getSeckillDesc(item.seckill_data) }}
{{ __( "Pay with Gift Card to get sale price: :itemCurrency:price", { 'itemCurrency' : itemCurrency, 'price' : (item.giftcard_price ? priceFormat(item.giftcard_price) : '0.00') } ) }} ({{ itemCurrency }}{{ priceFormat(item.giftcard_price / item.bundle_specification) }}/{{ item.unit }}) Details
Best before

Currently unavailable.

We don't know when or if this item will be back in stock.

Unavailable in your area.
Sold Out

Details

Full product details
Content Description

本书分为七大部分,主要由风险与收益、构建基石、资产组合结构、宏观分析、复制、压力测试与尾部风险管理、资产配置中的债券组成。本书为关键的观点就是超额收益必定建立在超额风险承担上,而且所有的风险都一定与某个期权相关,或者说可以解释为某一种期权头寸,超额的风险一定是某种期权的空头头寸。恰当地设定头寸规模,采取合适的尾部风险对冲,投资者就能获得稳健的收益。
Catalogue

丛书序
丛书序(英文版)
丛书介绍
推荐序
译者序
致谢
前言
第1章风险与收益/1
1.1固定收益产品的风险因子/4
1.2度量风险的方法/5
1.3四种主要风险因子/6
1.4建立投资组合的“结构化”方法/10
1.5回顾与展望/15
第2章构建基石/21
2.1风险测度与相对价值套利的期权方法/21
2.2远期定价/26
2.3资产互换/36
2.4情景分析估值/38
2.5β:风险修正和资产聚集/43
第3章资产组合结构/46
3.1理解利差/46
3.2理解蝴蝶策略(蝶式策略)/50
3.3凸性和时间消减/52
3.4获取风险溢价/54
3.5抵押支持债券资产滚动中的结构性价值/59
3.6期权合约中的结构性价值/63
3.7互换和结构性阿尔法/64
3.8CDS交易中的结构性价值/66
3.9均值回归:直接期权交易的结构性价值/67
3.10市政债券的结构性价值/69
3.11波动性与货币套利交易/71
3.12汇率和利率市场的互动/83
3.13购者自慎/87
第4章宏观分析/92
4.1模型建立中的宏观经济学/94
4.2信贷市场中关联风险的宏观驱动因素/115
4.3基础宏观分析的风险管理:预测β/124
4.4新的宏观分析:当政府也是市场参与者时/129
第5章复制/136
5.1期货合约的杠杆效应/136
5.2复制/137
5.3固定收益ETFs/143
第6章压力测试与尾部风险管理/146
6.1压力测试/146
6.2尾部风险管理/161
6.3波动性的行为/170
第7章资产配置中的债券/176
7.1资产配置/177
7.2债券组合中的股权风险/197
7.3资产组合管理中的尾部风险/200
7.4杠杆限制下的持仓/204
后记/208
Introduction

每隔一段时间,传统经验知识的适时适用性都会遭受巨大的冲击,通常都是因为新兴事物带来了经验知识的革新。而那些提早了解这种冲击的可能性并做好了准备的人,都能成为投资组合管理、风险控制和概念分析方法领域的领头羊。
2008~2009年的全球金融危机正是此类冲击的典型代表。它暴露出我们社会以及金融体系方方面面的软肋,个体不能负担却依然大量买进房地产,大部分银行积极地开展其不能得到准确风险评估的业务,而监管者却对这样的现象睁一只眼闭一只眼,最终导致了次贷金融危机并扰乱了全球经济发展。在这次危机中,以往我们从不曾想象并认为极不可能的现象都成为现实,其产生的后果是严重的、有决定性的,并将持续影响华尔街的大资本家和整个中产阶级。
就最大的问题而言,2008~2009年的次贷金融危机反映出我们过去在风险管理上的巨大失败。巨型的资产负债表无论在资产规模还是资产结构上都被允许放大放宽至难以持续的水平,风险识别与控制被广泛忽视,整个行业与社会都长期沉浸在从格林斯潘到伯南克时代的繁荣盛赞之中,尤其以2006~2007年间官方关于“大稳健”和“金发姑娘经济”的繁荣鼓噪为盛。
The Great Moderation,“大稳健”或“大缓和”,指20世纪80年代以来,美国长期保持高产出高增长,低通胀,并且产出通胀波动幅度明显下降,从1982~2007年美国仅5%的时间处于衰退,格林斯潘宣称“新经济”时代已经来临,伯南克将这一时期称作“大稳健”时期。Goldilocks,“金发姑娘经济”“金发姑娘”源自童话《金发姑娘和三只熊》,在故事中金发姑娘发现了三只熊的房子,每只熊都有自己喜欢的食物和床,在挨个尝试过三只熊的食物和床后,她发现要么太大太热,要么太小太凉,只有一个是刚刚好。“金发姑娘原则”因而用以指代那些参考的所有维度,但每个维度都不能超越极限的最佳选择原则。“金发姑娘经济”是指维持适度增长和低通胀的经济模式。维尼尔·班萨利(Vineer Bhanasli)在众多领军人物中一直积极地倡导创新固定收益投资和风险管理方法及视野角度,他的观点和理论来自于其在金融危机发生前,基于前瞻性分析和大胆质疑关于传统投资管理的经验方法而形成,并在危机持续的过程中得到动态的进化演变,如今已成为其他前瞻性分析实践的磁极。
2006年,班萨利开始着手一项智力要求极高的任务,即如何进行投资组合配置和风险管理的风险因子及结构表述,而不再仅仅是基于资产类别和资产结构表述。那时我已经离开太平洋投资管理公司(PIMCO)并与哈佛大学管理公司(HMC)签订了22个月的合约,主要负责学校的捐赠资产管理,而碰巧的是太平洋投资管理公司的同事和我同时面临相同的技术分析挑战见ElErian,Mohamed A.,When Markets Collide:Investment Strategies for the World of Global Economic Change.New York:McGrawHill,2008.。
在每一项投资决策中,无论是否已清楚了解,他们都必然承担了各种各样的风险因素组合。换言之,这使得整个行业将这些风险捆绑起来,并基于模型与标准化的资产类别将这些捆绑的风险组合优雅地展现出来,主要体现为相对简单的指数。
通常我们所称的“均衡”状态是指具有稳定的相关性,以及很少的结构性变革特征的状态。这个概念在当今不断变化的世界中遭遇严重挑战,例如国家的和全球的制度变革。在金融市场中,不同资产类别间的相关性变得不再稳定,甚至不同资产类别的定义和界限也变得更加模糊。在这样的环境下,投资者必须超越过去仅仅立足于资产类别的立场,而需要探求其具体的暴露的风险因素,这是一个目标简单明了却又任重道远的需求。
而本书正是维尼尔·班萨利具有的洞见智慧的一部分,是一本非常有价值并且具有适时性、时效性的好书。他基于优雅的分析直白地解释了我们要做什么,怎样去做和为什么做。例如,在本书中关于风险因子的分析有非常细节性的诠释,关于其如何帮助我们进行更好的投资组合管理和更灵敏及时的风险管理,进而使得交易的风险与回报变得更加显著,以及通过自下而上又自上而下、从整体到细节又从细节到整体的分析,使得长期性与周期性的市场驱动力量变得更加清晰。
这本书将会使两类人产生兴趣,一类是正在从事投资组合管理和分析的从业者,一类是那些在实践性进展方面热衷于投资组合管理与风险管理的分析技术研究者。我也衷心祝愿所有这本书的读者,都能从这本书中获得和我一样巨大的收益。
穆罕默德·埃尔埃利安太平洋投资管理公司前首席执行官、首席信息官《碰撞》作者


Specifications

Brand Jingdong book
Brand Origin China

Disclaimer

Product packaging, specifications and price are subject to change without notice. All information about the products on our website is provided for information purposes only. Please always read labels, warnings and directions provided with the product before use.

View Full Terms of Use
Add to favorites
{{ $isZh ? coupon.coupon_name_sub : coupon.coupon_ename_sub | formatCurrency }}
{{__("Buy Directly")}} {{ itemCurrency }}{{ item.directly_price }}
Quantity
{{ quantity }}
{{ instockMsg }}
{{ limitText }}
{{buttonTypePin == 3 ? __("Scan to view more PinGo") : __("Scan to start")}}
Sold by JD@CHINA
Ship to
{{ __("Ship to United States only") }}
Free shipping over 69
Genuine guarantee

Added to Cart

Keep Shopping

More to Consider

{{ item.brand_name }}

{{ item.item_name }}

{{ item.currency }}{{ item.market_price }}

{{ item.currency }}{{ item.unit_price }}

{{ item.currency }}{{ item.unit_price }}

Coupons

{{ coupon.coupon_name_new | formatCurrency }}
Clip Clipped Over
{{ getCouponDescStr(coupon) }}
{{ coupon.use_time_desc }}
Expires soon {{ formatTime(coupon.use_end_time) }}

Share this item with friends

Cancel

Yami Gift Card

Get this exclusive deal when paying with gift card

Terms and Conditions

Gift card deals are special offers for selected products;

The gift card deals will automatically be activated if a customer uses gift card balance at check out and the balance is sufficient to pay for the total price of the shopping cart products with gift card deals;

You will not be able to activate the gift card deals if you choose other payment methods besides gift card. The products will be purchased at their normal prices;

If your account balance is not enough to pay for the products with gift card deals, you can choose to reload your gift card balance by clicking on the Reload button at either shopping cart page or check out page;

Products that have gift card deals can be recognized by a special symbol showing 'GC Deal';

For any additional questions or concerns, please contact our customer service;

Yamibuy reserves the right of final interpretation.

Sold by Yami

Service Guarantee

Yami Free Shipping over $49
Yami Easy Returns
Yami Ships from United States

Shipping

  • United States

    Standard Shipping is $5.99 (Excluding Alaska & Hawaii). Free on orders of $49 or more.

    Local Express is $5.99 (Available in Parts of CA, NJ, MA & PA). Free on orders of $49 or more.

    2-Day Express (Includes Alaska & Hawaii) starts at $19.99.

Return Policy

Yami is committed to provide our customers with a peace of mind when purchasing from us. Most items shipped from Yamibuy.com can be returned within 30 days of receipt of shipment (For Food, Beverages, Snacks, Dry Goods, Health supplements, Fresh Grocery and Perishables Goods, within 7 days of receipt of shipment due to damages or quality issues; To ensure that every customer receives safe and high-quality products, we do not provide refunds or returns for beauty products once they have been opened or used, except in the case of quality issues; Some products may have different policies or requirements associated with them, please see below for products under special categories, or contact Yami Customer Service for further assistance).
Thank you for your understanding and support.

Learn More

Sold by Yami

Terms and Conditions of Yami E-Gift Card

If you choose “Redeem automatically” as your delivery method, your gift card balance will be reload automatically after your order has been processed successfully;

If you choose “Send to Email”as your delivery method, the card number and CVV will be sent to the email address automatically;

Any user can use the card number and CVV to redeem the gift card, please keep your gift card information safely. If you have any trouble receiving email, please contact Yami customer service;

Yami gift card can be used to purchase both Yami owned or Marketplace products;

Yami gift card will never expire;

Yami gift card balance does not have to be used up at once;

All rights reserved by Yami.

Return Policy

Gift card that has already been consumed is non-refundable.

Sold by JD@CHINA

Service Guarantee

Yami Free Shipping over $49
Yami Easy Returns
Yami Ships from United States

Shipping

  • United States

    Standard Shipping is $5.99 (Excluding Alaska & Hawaii). Free on orders of $49 or more.

    Local Express is $5.99 (Available in Parts of CA, NJ, MA & PA). Free on orders of $49 or more.

    2-Day Express (Includes Alaska & Hawaii) starts at $19.99.

Return Policy

You may return product within 30 days upon receiving the product. Items returned must be new in it's original packing, including the original invoice for the purchase. Customer return product at their own expense.

Sold by JD@CHINA

Service Guarantee

Yami Cross-store Free Shipping over $69
Yami 30-days Return

Yami-China FC

Yami has a consolidation warehouse in China which collects multiple sellers’ packages and combines to one order. Our Yami consolidation warehouse will directly ship the packages to your door. Cross-store free shipping over $69.

Return Policy

You may return products within 30 days upon receiving the products. Sellers take responsibilities for any wrong shipment or missing items. Packing needs to be unopened for any other than quality issues return. We promise to pack carefully, but because goods are taking long journey to destinations, simple damages to packaging may occur. Any damages not causing internal goods quality problems are not allowed to return. If you open the package and any quality problem is found, please contact customer service within three days after receipt of goods.

Shipping Information

Yami Consolidation Service Shipping Fee $9.99(Free shipping over $69)

Sellers in China will ship their orders within 1-2 business days once the order is placed. Packages are sent to our consolidation warehouse in China and combined there. Our Yami consolidation warehouse will directly ship the packages to you via UPS. The average time for UPS to ship from China to the United States is about 10 working days and it can be traced using the tracking number. Due to the pandemic, the delivery time may be delayed by about 5 days. The package needs to be signed by the guest. If the receipt is not signed, the customer shall bear the risk of loss of the package.

Sold by JD@CHINA

Service Guarantee

Free shipping over 69
Genuine guarantee

Shipping

Yami Consolidated Shipping $9.99(Free shipping over $69)


Seller will ship the orders within 1-2 business days. The logistics time limit is expected to be 7-15 working days. In case of customs clearance, the delivery time will be extended by 3-7 days. The final receipt date is subject to the information of the postal company.

Yami Points information

All items are excluding from any promotion or points events on Yamibuy.com

Return Policy

You may return product within 30 days upon receiving the product. Items returned must be new in it's original packing, including the original invoice for the purchase. Customer return product at their own expense.

Yami

Download the Yami App

Back Top

Recommended for You

About the brand

Jingdong book

为您推荐

Yami
欣葉
2种选择
欣叶 御大福 芋头麻薯 180g

周销量 600+

$1.66 $1.99 83折
Yami
欣葉
2种选择
欣叶 御大福 芋头麻薯 180g

周销量 600+

$1.66 $1.99 83折
Yami
欣葉
2种选择
欣叶 御大福 芋头麻薯 180g

周销量 600+

$1.66 $1.99 83折
Yami
欣葉
2种选择
欣叶 御大福 芋头麻薯 180g

周销量 600+

$1.66 $1.99 83折
Yami
欣葉
2种选择
欣叶 御大福 芋头麻薯 180g

周销量 600+

$1.66 $1.99 83折
Yami
欣葉
2种选择
欣叶 御大福 芋头麻薯 180g

周销量 600+

$1.66 $1.99 83折

Reviews{{'('+ commentList.posts_count + ')'}}

Have your say. Be the first to help other guests.

Write a review
{{ totalRating }} Write a review
  • {{i}} star

    {{i}} stars

    {{ parseInt(commentRatingList[i]) }}%

Yami Yami
{{ comment.user_name }}

{{ showTranslate(comment) }}Show Less

{{ strLimit(comment,800) }}Show more

Show Original

{{ comment.content }}

Yami
Show All

{{ formatTime(comment.in_dtm) }} VERIFIED PURCHASE {{groupData}}

{{ comment.likes_count }} {{ comment.likes_count }} {{ comment.reply_count }} {{comment.in_user==uid ? __('Delete') : __('Report')}}
Yami Yami
{{ comment.user_name }}

{{ showTranslate(comment) }}Show Less

{{ strLimit(comment,800) }}Show more

Show Original

{{ comment.content }}

Yami
Show All

{{ formatTime(comment.in_dtm) }} VERIFIED PURCHASE {{groupData}}

{{ comment.likes_count }} {{ comment.likes_count }} {{ comment.reply_count }} {{comment.in_user==uid ? __('Delete') : __('Report')}}

No related comment~

Review

Yami Yami

{{ showTranslate(commentDetails) }}Show Less

{{ strLimit(commentDetails,800) }}Show more

Show Original

{{ commentDetails.content }}

Yami
Show All

{{ formatTime(commentDetails.in_dtm) }} VERIFIED PURCHASE {{groupData}}

{{ commentDetails.likes_count }} {{ commentDetails.likes_count }} {{ commentDetails.reply_count }} {{commentDetails.in_user==uid ? __('Delete') : __('Report')}}

Please write at least one word

Comments{{'(' + replyList.length + ')'}}

Yami Yami

{{ showTranslate(reply) }}Show Less

{{ strLimit(reply,800) }}Show more

Show Original

{{ reply.reply_content }}

{{ formatTime(reply.reply_in_dtm) }}

{{ reply.reply_likes_count }} {{ reply.reply_likes_count }} {{ reply.reply_reply_count }} {{reply.reply_in_user==uid ? __('Delete') : __('Report')}}

Please write at least one word

Cancel

That’s all the comments so far!

Write a review
How would you rate this item?

Please add your comment.

  • A nice nickname will make your comments more popular!
  • The nickname in your account will be changed to the same as here.
Thanks for your review
Our community rely on great reviews like yours to find the best of Asia.

Report

If you find this content inappropriate and think it should be removed from the Yami.com site, let us know please.

Cancel

Are you sure to delete your review?

Cancel

You’ve Recently Viewed

About the brand

Jingdong book