Taxes on tax‐exempt bonds

A Ang, V Bhansali, Y Xing - The Journal of Finance, 2010 - Wiley Online Library
Implicit tax rates priced in the cross section of municipal bonds are approximately two to three
times as high as statutory income tax rates, with implicit tax rates close to 100% using retail …

[PDF][PDF] The risk in risk parity: A factor-based analysis of asset-based risk parity

V Bhansali, J Davis, G Rennison, J Hsu… - The Journal of …, 2012 - researchgate.net
Traditional risk parity strategies are based on equal risk weighting of selected asset classes.
The method seeks to equalize the risk contribution by the asset classes in an asset …

Everybody's doing it: Short volatility strategies and shadow financial insurers

V Bhansali, L Harris - Financial Analysts Journal, 2018 - Taylor & Francis
The extraordinary growth of short volatility strategies creates risks that may trigger a serious
market crash. A low-yield, low-volatility environment has drawn various market participants …

Offensive Risk Management: Can Tail Risk Hedging Be Profitable?

V Bhansali, J Davis - Available at SSRN 1573760, 2010 - papers.ssrn.com
Long-horizon investors have traditionally assumed that they do not need to purchase
insurance against rare but severe events that can adversely impact their portfolios. Even where …

Systemic credit risk: What is the market telling us?

V Bhansali, R Gingrich, FA Longstaff - Financial Analysts Journal, 2008 - Taylor & Francis
The ongoing subprime crisis raises many concerns about the possibility of even more
widespread credit shocks. We describe a simple linear version of a sophisticated model that can …

Volatility and the carry trade

V Bhansali - Journal of Fixed Income, Winter, 2007 - papers.ssrn.com
The currency'carry trade', in which an investor buys assets in a higher yielding currency by
borrowing in a lower yielding currency, has been consistently exploited as a source of profits …

Tail risk management

V Bhansali - Journal of Portfolio Management, 2008 - search.proquest.com
In the current deleveraging episode, the severity and simultaneous realization of low-probability
events across a number of strategies has brought portfolio tail-risk hedging to the center …

The muni bond spread: Credit, liquidity, and tax

A Ang, V Bhansali, Y Xing - Columbia Business School Research …, 2014 - papers.ssrn.com
Municipal (muni) bonds are risky and trade in illiquid markets, and both effects serve to
raise muni yields relative to Treasuries. On the other hand, the tax exemption of muni bonds …

Offensive risk management II: the case for active tail hedging

V Bhansali, JM Davis - Journal of Portfolio Management, 2010 - search.proquest.com
Bhansali and Davis define offensive risk management as the use of tail hedges in a portfolio
as a way for investors to allocate more capital to risky assets and simultaneously reduce the …

[PDF][PDF] Beyond risk parity

V Bhansali - Journal of Investing, 2011 - longtailalpha.com
… As discussed in considerable detail elsewhere (Bhansali [2008, 2010]), to implement this in
practice, we analyze the key risk factors of the portfolio, and based on an attachment level (which …