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On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution
Amir Mani / Georgios Sotiropoulos / Travis Cable / Wei Qi / Yiyuan Xiong
credit risk / fixed incomeResource overview

On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution

Paper2025

by Amir Mani, Georgios Sotiropoulos, Travis Cable, Wei Qi, Yiyuan Xiong

Tags
credit riskfixed incomeliquidity riskrisk managementtail risk

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Understand this paper

Suggested foundations for risk measurement and stress and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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