Pricing, Risk, and Performance Measurement in Practice: The Building Block Approach to Modeling…

Other | October 22, 2009

byWolfgang Schwerdt, Wolfgang Schwerdt, Marcelle von Wendland

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How can managers increase their ability to calculate price and risk data for financial instruments while decreasing their dependence on a myriad of specific instrument variants? Wolfgang Schwerdt and Marcelle von Wendland created a simple and consistent way to handle and process large amounts of complex financial data. By means of a practical framework, their approach analyzes market and credit risk exposure of financial instruments and portfolios and calculates risk adjusted performance measures. Its emphasis on standardization yields significant improvements in speed and accuracy.

Schwerdt and von Wendland's focus on practical implementation directly addresses limitations imposed by the complex and costly processing time required for advanced risk management models and pricing hundreds of thousands of securities each day. Their many examples and programming codes demonstrate how to use standards to build financial instruments, how to price them, and how to measure the risk and performance of the portfolios that include them.



Feature: The authors have designed and implemented a standard for the description of financial instruments
Benefit: The reader can rely on accurate and valid information about describing financial instruments
Feature: The authors have developed an approach for pricing and analyzing any financial instrument using a limited set of atomic instruments
Benefit: The reader can use these instruments to define and set up even very large numbers of financial instruments.
Feature: The book builds a practical framework for analysing the market and credit risk exposure of financial instruments and portfolios
Benefit: Readers can use this framework today in their work and identify and measure market and credit risk using a reliable method.

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From the Publisher

How can managers increase their ability to calculate price and risk data for financial instruments while decreasing their dependence on a myriad of specific instrument variants? Wolfgang Schwerdt and Marcelle von Wendland created a simple and consistent way to handle and process large amounts of complex financial data. By means of a pr...

Format:OtherDimensions:398 pages, 1 × 1 × 1 inPublished:October 22, 2009Publisher:Elsevier ScienceLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0080923046

ISBN - 13:9780080923048

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Extra Content

Table of Contents

PART I
1.0 Foreword 600
2.0 Introduction to Pricing, Risk and Performance Measurement 600
2.01 Who is the book for? 500
2.02 Foundations of Pricing 1,500
2.03 Risk Measurement Basics 1,500
2.04 Understanding Performance measurement 1,500

PART II
3.0 Approaches to Pricing 6000
4.0 Pricing Fixed Cash flows 10,000
5.0 Pricing Equity Cash flows 10,000
6.0 Pricing Derivative Cash flows 10,000
7.0 Putting it All Together: Pricing Complex Instruments 5,000

PART III
8.0 Approaches to Risk Measurement 10,000
9.0 Implementing VAR Risk Measurement 8,000
10.0 Implementing ETL Risk Measurement 8,000
11.0 Implementing Risk Measurement Reports 5,000

PART IV
12.0 Approaches to Performance Measurement 10,000
13.0 Implementing Portfolio Performance Measurement 10,000
14.0 Implementing Risk Adjusted Profit Measures 10,000