About the Book
"Changing market dynamics, technological advances, and geopolitical stresses have transformed investment risk management over the last 20 years. As new and bespoke products have emerged, new risks and additional complexities have driven advances in risk management processes and analytics. Furthermore, investors' priorities are shifting with the rise of sustainability, resulting in the growth of environmental, social and governance (ESG) products and investment strategies. Given the abundance of change, risk managers have adapted their processes and tools to address market turbulence, structural bond market changes, product complexity, ESG strategies and regulatory oversight. Having a strong risk management culture coupled with comprehensive risk management processes allows risk managers to rapidly adapt to new circ*mstances. Using BlackRock's investment risk paradigm as the underlying structure, this book blends investment risk management practices with new concepts and models to help practitioners manage risk. While the book focuses primarily on fixed income risk practices, analytics and models, the concepts and theories presented can be applied to other asset classes. The book also shares lessons learned during and after the 2008 Financial Crisis as well as some preliminary thoughts on the impacts of the Coronavirus Pandemic"--
Book Synopsis
An irreplaceable roadmap to modern risk management from renowned experts on the subject
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. 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 culture
- Fixed income risk management concepts and theories that can be applied to other asset classes
- Lessons learned from financial 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.
From the Back Cover
Praise for
BlackRock's Guide to Fixed-Income Risk Management
"This book is a greatly revised and expanded version of the classic 2000 book Risk Management: Approaches for Fixed Income Markets by Golub and Tilman. The vast experiences of Golub and his 46 colleagues have shaped this agenda so that it is both precise and practical. It discusses how the markets have evolved and what managers have done as a result. If you ever wondered how risk management is actually done by a big, decentralized investment manager today, read this book."
--Robert F. Engle, Co-director of the Volatility and Risk Institute at NYU Stern; 2003 Nobel Laureate in Economics
"Portfolio managers seek to add value through active risk taking. Rigorous and comprehensive risk analytics permits risk taking to be both appropriate and precisely focused. In this book, the tools and techniques required to make this possible for fixed-income portfolios are described in detail."
--Rick Rieder, Chief Investment Officer of Global Fixed Income, BlackRock
"Edited and mostly authored by the founding Chief Risk Officer of one of the largest and most successful fixed-income asset managers in the world, this volume should be required reading for all investors, risk managers, and central bankers. With topics ranging from yield curve dynamics to liquidity risk management to the modeling of geopolitical risk to lessons from the COVID-19 pandemic, this volume has something for everyone."
--Andrew W. Lo, Charles E. and Susan T. Harris Professor of Finance, MIT Sloan School of Management
"This book is based on the extensive experience and know-how accumulated over more than three decades by Ben Golub, as a risk management leader at BlackRock. The book also benefited from the vast experience of BlackRock professionals with expertise in investment risk management. The reader will learn about the dynamic nature of risk in changing economic and technical environments. This book is a significant and important contribution to our knowledge in managing risks at asset management firms and other financial institutions."
--Dan Galai, Professor Emeritus, The Hebrew University of Jerusalem; co-author of The Essentials of Risk Management, Third Edition
"Risk management is key to the success of any financial institution. The world-leading contributors to this book describe in a practice-driven way how to build and implement a solid risk management foundation for fixed-income products. The expertise and professional success of the writers makes the book not only unique among financial literature, but an essential read and reference for risk managers and financial practitioners within or outside the financial services industry."
--Richard Apostolik, President and CEO, Global Association of Risk Professionals
About the Author
Bennett W. Golub is one of the original founders of BlackRock. During his 34-year career at BlackRock, Dr. Golub was a member of BlackRock's Global Executive Committee, co-head of its Risk & Quantitative Analysis group and served as BlackRock's Chief Risk Officer from 2009--2022. Additionally, he co-founded BlackRock Solutions. Currently, Dr. Golub serves as a Senior Advisor to BlackRock.
