Pricing, Risk, and Performance Measurement in Practice by Schwerdt, Wolfgang; von Wendland, Marcelle;

The Building Block Approach to Modeling Instruments and Portfolios

Sorozatcím: The Elsevier and Mondo Visione World Capital Markets;

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A termék adatai:

Kiadó Elsevier Science
Megjelenés dátuma 2009. október 22.

ISBN 9780123745217
Kötéstípus Keménykötés
Terjedelem398 oldal
Méret 235x191 mm
Súly 990 g
Nyelv angol

Kategóriák

Pénzügy, befektetés Alkalmazott pszichológia

Hosszú leírás:

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.

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Tartalomjegyzék:

PART I1.0 Foreword 6002.0 Introduction to Pricing, Risk and Performance Measurement 6002.01 Who is the book for? 5002.02 Foundations of Pricing 1,5002.03 Risk Measurement Basics 1,5002.04 Understanding Performance measurement 1,500PART II3.0 Approaches to Pricing 60004.0 Pricing Fixed Cash flows 10,0005.0 Pricing Equity Cash flows 10,0006.0 Pricing Derivative Cash flows 10,0007.0 Putting it All Together: Pricing Complex Instruments 5,000PART III8.0 Approaches to Risk Measurement 10,0009.0 Implementing VAR Risk Measurement 8,00010.0 Implementing ETL Risk Measurement 8,00011.0 Implementing Risk Measurement Reports 5,000PART IV 12.0 Approaches to Performance Measurement 10,00013.0 Implementing Portfolio Performance Measurement 10,00014.0 Implementing Risk Adjusted Profit Measures 10,000