Vineer Bhansali

LongTail Alpha, LLC

Chief Investment Officer

500 Newport Center Drive

Suite 820

Newport Beach, CA 92660

United States

  • LongTail Alpha, LLC

SCHOLARLY PAPERS

36

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39

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124

Scholarly Papers (36)

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1.

Offensive Risk Management: Can Tail Risk Hedging Be Profitable?

Number of pages: 20 Posted: 24 Mar 2010 Last Revised: 06 Apr 2010
Vineer Bhansali and Josh Davis
LongTail Alpha, LLC and Pacific Investment Management Company (PIMCO)
Downloads 2,587 (5,951)
Citation 3

Abstract:

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Tail Hedging, Asset Allocation

2.

The Muni Bond Spread: Credit, Liquidity, and Tax

Columbia Business School Research Paper No. 14-37
Number of pages: 49 Posted: 30 Aug 2014
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 1,312 (17,785)
Citation 13

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municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes

3.

Volatility and the Carry Trade

Journal of Fixed Income, Winter 2007
Number of pages: 27 Posted: 05 Nov 2007
Vineer Bhansali
LongTail Alpha, LLC
Downloads 1,188 (20,631)
Citation 4

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carry trade, volatility

4.

Active Risk Parity

Number of pages: 8 Posted: 29 Nov 2012
Vineer Bhansali
LongTail Alpha, LLC
Downloads 1,063 (24,315)
Citation 1

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Risk Parity, Risk Factors, Asset Allocation

5.

Forecasting Portfolio Risk in Normal and Stressed Markets

Downloads 757 ( 39,217)

Forecasting Portfolio Risk in Normal and Stressed Markets

Number of pages: 15 Posted: 28 Nov 2001
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 757 (38,657)
Citation 2

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risk factors, market stress, portfolio risk

Forecasting Portfolio Risk in Normal and Stressed Markets

Journal of Risk, Vol. 4, No. 1, Fall 2001
Posted: 17 Jan 2002
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology

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risk factors, market stress, portfolio risk

6.

Putting Economics (Back) into Quantitative Models

Number of pages: 36 Posted: 14 Nov 2005
Vineer Bhansali
LongTail Alpha, LLC
Downloads 685 (44,917)
Citation 5

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7.

Inflation Tail Risk Hedging

Journal of Portfolio Management, 2014
Number of pages: 28 Posted: 30 Mar 2013
Vineer Bhansali
LongTail Alpha, LLC
Downloads 578 (56,027)
Citation 1

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Inflation, Hyperinflation, Hedging, Tail Risk, Monetary Policy, Basis Risk

8.

Debt Subordination and the Pricing of Credit Default Swaps

Cal Tech Working Paper No. CALT-68-2415
Number of pages: 10 Posted: 30 Jan 2003
Peter B. Lee, Mark B. Wise and Vineer Bhansali
Lehman Brothers, New York, California Institute of Technology and LongTail Alpha, LLC
Downloads 494 (68,199)
Citation 1

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Credit Default Swaps, Debt Subordination

9.

Corporate Bond Risk from Stock Dividend Uncertainty

Downloads 464 ( 73,679)

Corporate Bond Risk from Stock Dividend Uncertainty

California Institute of Technology Working Paper No. CALT-68-2435
Number of pages: 14 Posted: 20 Jun 2003
Mark B. Wise, Peter B. Lee and Vineer Bhansali
California Institute of Technology, Lehman Brothers, New York and LongTail Alpha, LLC
Downloads 464 (72,972)

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Dividends, Corporate Bonds, Default Probability

Corporate Bond Risk from Stock Dividend Uncertainty

Posted: 20 Sep 2004
Mark B. Wise, Peter B. Lee and Vineer Bhansali
California Institute of Technology, Lehman Brothers, New York and LongTail Alpha, LLC

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corporate bond, stock dividend, default probability

10.

Taxes on Tax-Exempt Bonds

Downloads 445 ( 77,456)
Citation 30

Taxes on Tax-Exempt Bonds

Number of pages: 64 Posted: 25 Mar 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 225 (161,457)

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municipal bonds, income and capital gains tax, de minimis boundary, public finance

Taxes on Tax-Exempt Bonds

Journal of Finance, Forthcoming
Number of pages: 65 Posted: 26 Nov 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 118 (280,327)
Citation 3

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municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate

Taxes on Tax-Exempt Bonds

Journal of Finance, Vol. 65, No. 2, pp. 565-601, 2008
Number of pages: 48 Posted: 21 Oct 2011
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 55 (443,917)
Citation 2

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Taxes on Tax-Exempt Bonds

NBER Working Paper No. w14496
Number of pages: 48 Posted: 25 Nov 2008 Last Revised: 10 Feb 2021
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 47 (476,254)
Citation 5

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11.

Universal Asymptotic Behavior of Mortgage Prepayments

California Tech Working Paper No. 68-2307
Number of pages: 7 Posted: 20 Mar 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 435 (79,593)

Abstract:

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Mortgage, prepayments, burnout

12.

Modeling Swap Spreads in Normal and Stressed Environments

Number of pages: 28 Posted: 24 Dec 2008
Vineer Bhansali, Yonathan Schwarzkopf and Mark B. Wise
LongTail Alpha, LLC, Lime Brokerage LLC and California Institute of Technology
Downloads 371 (95,786)

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13.

Correlated Random Walks and the Joint Survival Probability

Number of pages: 13 Posted: 07 Jul 2004
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 349 (102,617)

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Random walk , survival probability, first passage

14.

Portfolio Allocation to Corporate Bonds with Correlated Defaults

Downloads 333 (108,554)

Portfolio Allocation to Corporate Bonds with Correlated Defaults

CALT Working Paper No. 68-2365
Number of pages: 18 Posted: 27 May 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 333 (107,864)
Citation 2

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Portfolio Allocation to Corporate Bonds with Correlated Defaults

Journal of Risk, Vol. 5, No. 1, Fall 2002
Posted: 09 Dec 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC

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15.

Implications of Correlated Default for Portfolio Allocation to Corporate Bonds

Downloads 270 (135,215)

Implications of Correlated Default for Portfolio Allocation to Corporate Bonds

California Inst. of Tech. Working Paper No. CALT-68-2405
Number of pages: 18 Posted: 09 Sep 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 270 (134,518)
Citation 1

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Implications of Correlated Default for Portfolio Allocation to Corporate Bonds

Journal of Investment Management, Vol. 3, No. 1, First Quarter 2005
Posted: 30 Mar 2005
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC

Abstract:

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Portfolio, correlated default, corporate bonds

16.

How Much Should Investors Pay for Leverage?

Number of pages: 13 Posted: 04 Apr 2005
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 249 (146,720)
Citation 2

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17.

Diversification and Generalized Tracking Errors for Correlated Non-Normal Returns

Downloads 234 (155,830)

Diversification and Generalized Tracking Errors for Correlated Non-Normal Returns

California Institute of Technology Working Paper No. CALT-68-2400
Number of pages: 6 Posted: 01 Oct 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 234 (155,340)

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Diversification and Generalized Tracking Errors for Correlated Non-Normal Returns

Quantitative Finance, Vol. 2, No. 6, pp. 482-486, December 2002
Posted: 12 Feb 2003
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC

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Diversification, Non-normal, Returns

18.

Taylor Rules Under the Risk-Management Paradigm of Discretionary Monetary Policy

Number of pages: 15 Posted: 09 Nov 2005
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 220 (165,382)
Citation 1

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Taylor Rules, Monetary Policy, Low Inflation, Risk Management

19.

Asymmetric Monetary Policy Rules and the Yield Curve

Number of pages: 20 Posted: 20 Mar 2006
Matthew P. Dorsten, Vineer Bhansali and Mark B. Wise
California Institute of Technology, LongTail Alpha, LLC and California Institute of Technology
Downloads 204 (177,476)
Citation 2

Abstract:

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Yield Curve, Monetary Policy

20.

Good States, Bad States: What Do Options Tell Us About Schizophrenic Behavior of Mr. Market and What Can We Do About It?

Number of pages: 19 Posted: 12 Jan 2021
Vineer Bhansali and Jeremie Holdom
LongTail Alpha, LLC and LongTail Alpha, LLC
Downloads 178 (200,609)

Abstract:

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Options, Bimodality, Elections, Market Behavior, Asset Allocation, Hedging

21.

Endogenous Yield Curve Risk from Central Bank Policy Uncertainty

Number of pages: 13 Posted: 04 Dec 2006
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 151 (230,563)

Abstract:

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Central Bank Policy, Duration

22.

Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities

Number of pages: 19 Posted: 24 Jan 2021
Vineer Bhansali and Jeremie Holdom
LongTail Alpha, LLC and LongTail Alpha, LLC
Downloads 99 (314,856)

Abstract:

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Diversification, Hedging, Risk Mitigation

23.

Lending To Lose: Who Buys Negatively Yielding Bonds And What It Means For Investors

Number of pages: 24 Posted: 27 Dec 2019
Vineer Bhansali
LongTail Alpha, LLC
Downloads 91 (334,615)

Abstract:

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Negative Yielding Bonds, Index Funds, Pension funds, Risk Management, Hedging, Central Banks

24.

Build America Bonds

Downloads 16 (637,725)

Build America Bonds

NBER Working Paper No. w16008
Number of pages: 17 Posted: 30 Sep 2019 Last Revised: 29 Mar 2021
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University
Downloads 16 (660,932)

Abstract:

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Build America Bonds

Posted: 02 May 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, LongTail Alpha, LLC and Rice University

Abstract:

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Municipal debt, tax-exempt bonds, public finance, tax subsidy

25.

Monetization Matters: Active Tail Risk Management and The Great Virus Crisis

Posted: 10 Aug 2020
Vineer Bhansali, Linda Chang, Jeremie Holdom and Marcy Rappaport
LongTail Alpha, LLC, LongTail Alpha, LLC, LongTail Alpha, LLC and LongTail Alpha, LLC

Abstract:

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Tail Risk Hedging, Monetization, COVID-19

26.

Right Tail Hedging: Managing Risk When Markets Melt Up

Posted: 15 Feb 2018
Vineer Bhansali
LongTail Alpha, LLC

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Call Options, Upside Risk, Tail Hedging

27.

Everybody's Doing it: Short Volatility Strategies and Shadow Financial Insurers

Forthcoming, Financial Analysts Journal, Vol. 74, No. 2, 2018
Posted: 17 Nov 2017 Last Revised: 09 Nov 2020
Vineer Bhansali and Lawrence Harris
LongTail Alpha, LLC and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Abstract:

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volatility strategies, options, market crashes, short VIX carry trade, volatility risk premium, risk-parity fund, risk premium harvesters, target volatility funds

28.

A Comparison of Municipal Bond Index Weighting Schemes

Posted: 24 Mar 2015
Vineer Bhansali, Ethan Namvar, Kuntara Pukthuanthong and Shane D. Shepherd
LongTail Alpha, LLC, University of California, Berkeley - Haas School of Business, University of Missouri, Columbia and Research Affiliates, LLC

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Municipal Bonds; Municipal Bond Index; Passive Investing; Indexing

29.

Carry and Trend in Lots of Places

https://doi.org/10.3905/jpm.2015.41.4.082
Posted: 18 Mar 2015
Vineer Bhansali, Josh Davis, Matthew P. Dorsten and Graham Rennison
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), California Institute of Technology and Pacific Investment Management Company (PIMCO)
Downloads 0 (775,401)

Abstract:

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Carry, trend, momentum, asset allocation

30.

The Risk in Risk Parity: A Factor-based Analysis of Asset-based Risk Parity

Journal of Investing, Vol. 21, No. 3, Fall 2012, pp. 102-110
Posted: 25 Oct 2012 Last Revised: 28 Dec 2016
Vineer Bhansali, Josh Davis, Graham Rennison, Jason C. Hsu and Feifei Li
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, risk factor parity

31.

Fat Tails and Stop-Losses in Portable Alpha

Journal of Investment Management (JOIM), Third Quarter 2011
Posted: 24 Aug 2011
Mark B. Wise, Yonathan Schwarzkopf and Vineer Bhansali
California Institute of Technology, Lime Brokerage LLC and LongTail Alpha, LLC

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Portable alpha, stop-loss, regime shifts, utility, risk aversion, Sharpe ratio

32.

Offensive Risk Management II: The Case for Active Tail Risk Hedging

Journal of Portfolio Management, Forthcoming
Posted: 09 May 2010
Vineer Bhansali
LongTail Alpha, LLC

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Tail Risk, Risk Management, Options

33.

Market Crises-Can the Physics of Phase Transitions and Symmetry Breaking Tell Us Anything Useful?

Journal Of Investment Management (JOIM), Third Quarter 2009
Posted: 13 Oct 2009 Last Revised: 19 Oct 2010
Vineer Bhansali
LongTail Alpha, LLC

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Tail risk, liquidity crisis, systemic risk, phase transitions, arbitrage

34.

How Valuable are the TALF Puts?

Posted: 11 Aug 2009
Vineer Bhansali
LongTail Alpha, LLC

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TALF, Put, Leverage, Federal Reserve, Liquidity Crisis

35.

Asset Allocation: Putting Economics (Back) in the Mix

Posted: 30 Oct 2008
Vineer Bhansali
LongTail Alpha, LLC

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Asset Allocation, Factor Models, Tail Risk, ISM

36.

Systemic Credit Risk: What is the Market Telling Us?

Financial Analysts Journal, Vol. 64, No. 4, 2008
Posted: 23 Sep 2008
Vineer Bhansali, Robert Gingrich and Francis A. Longstaff
LongTail Alpha, LLC, affiliation not provided to SSRN and University of California, Los Angeles (UCLA) - Finance Area

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Derivative Instruments, Debt Derivatives, Debt Investments, Risk Measures, Credit Analysis