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TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets by Vineer Bhansali

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Introduction

The conceptual origin of this book goes back to many years before my entry into finance. During one summer research project in physics at Caltech, it became obvious to the young undergraduate that was me that the “action,” so to speak, was not in the middle part of the distribution but in the tails. Over the years, research papers (on power laws and fat tails) and popular books (on black swans) from all areas of inquiry made it obvious that the time was ripe for low-probability, high-severity events to assert their right to a proper analysis. And then, of course, the mother of all recent crises happened in 2008, and tail risk management entered the lexicon of investment management with a speed and intensity yet unmatched.

For me ...

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