Vineer Bhansali

LongTail Alpha, LLC

Chief Investment Officer

500 Newport Center Drive

Suite 820

Newport Beach, CA 92660

United States

SCHOLARLY PAPERS

36

DOWNLOADS
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Top 3,672

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13,033

SSRN CITATIONS
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SSRN RANKINGS

Top 7,970

in Total Papers Citations

41

CROSSREF CITATIONS

124

Scholarly Papers (36)

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 2,636 (6,070)
Citation 4

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 1,342 (17,922)
Citation 14

Abstract:

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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 1,243 (20,060)
Citation 4

Abstract:

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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 1,074 (24,918)
Citation 1

Abstract:

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Risk Parity, Risk Factors, Asset Allocation

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 760 (39,932)
Citation 2

Abstract:

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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

Abstract:

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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 687 (46,417)
Citation 5

Abstract:

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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 607 (54,608)
Citation 1

Abstract:

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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 (70,594)
Citation 1

Abstract:

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Credit Default Swaps, Debt Subordination

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 (75,496)

Abstract:

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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

Abstract:

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corporate bond, stock dividend, default probability

10.
Downloads 445 ( 80,096)
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 (166,381)

Abstract:

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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 (288,494)
Citation 3

Abstract:

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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 (456,177)
Citation 2

Abstract:

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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 (489,217)
Citation 6

Abstract:

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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 437 (81,824)

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 (98,864)

Abstract:

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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 (105,934)

Abstract:

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Random walk , survival probability, first passage

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 335 (110,312)
Citation 2

Abstract:

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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

Abstract:

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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 (138,741)

Abstract:

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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 250 (150,684)
Citation 2

Abstract:

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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 235 (159,444)

Abstract:

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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

Abstract:

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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 (170,348)
Citation 1

Abstract:

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Taylor Rules, Monetary Policy, Low Inflation, Risk Management

19.

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 204 (182,874)

Abstract:

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

20.

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 (182,874)
Citation 2

Abstract:

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Yield Curve, Monetary Policy

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 152 (236,175)

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 137 (256,803)

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 100 (321,662)

Abstract:

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

24.
Downloads 17 (648,368)

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 17 (671,273)
Citation 1

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
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

Abstract:

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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
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

Posted: 18 Mar 2015
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), California Institute of Technology and Pacific Investment Management Company (PIMCO)
Downloads 0 (793,642)

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
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

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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