Pricing, Risk, and Performance Measurement in Practice (eBook)

The Building Block Approach to Modeling Instruments and Portfolios

Wolfgang Schwerdt, Marcelle von Wendland (Autoren)

eBook Download: PDF

2009 | 1. Auflage
398 Seiten
Elsevier Science (Verlag)
978-0-08-092304-8 (ISBN)

Infos

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.

Inhalt

Front cover 1
Title page 6
Copyright page 7
Table of contents 8
About the Authors 14
Preface 16
How to Use the Companion Web Site 17
Free Companion Software: R Language 18
Free Companion Software: Personal ORACLE 18
Free Companion Software: AMPL 18
Build Instruments by Drag-and-Drop in Graphical Wizard 19
Acknowledgements 20
Chapter 1: Introducing Model Implementation with the Building Block Method 22
Why Use a Building Block Approach? 22
An Implementation Framework 25
Chapter 2: Introducing the Building Block Data Model 36
Considerations When Modelling Financial Data 36
The Data Model 44
Data Quality Management 54
Chapter 3: Modelling Financial Instruments 56
Modelling Financial Instruments 56
Chapter 4: Introduction to Practical Valuation 98
The Basic Tools for Valuation 98
Valuing Financial Assets 116
Valuing Real Assets 132
Chapter 5: Implementing Valuation Models 136
Valuation Model Implementation—Step by Step 136
Valuation Model Implementation Checklists 153
More and More Advanced Pricing Models 159
Chapter 6: Introduction to Practical Risk Modelling 160
The Purpose of Risk Management 160
Early Approaches to Risk Management 165
Modern Approaches to Risk Management 176
Chapter 7: Implementing Risk Models 186
Risk Model Implementation—Step by Step 186
Risk Model Implementation Checklists 204
Further Risk Models and Implementation Details from Historical to Parametric and Monte Carlo Based Approaches 209
Chapter 8: Introducing Performance Measurement 212
The Role of Performance Measurement 212
Performance Measurement 217
Performance Attribution 231
Performance Using Risk Adjusted Return on Capital 243
Investment Performance Management 248
Chapter 9: Implementing Performance Models 252
Performance Measurement Implementation: Step by Step 252
Performance Measurement Implementation Checklists 266
Further Performance Measurement Models 272
Chapter 10: Understanding Valuation Theory 274
The Purpose of Valuation Theory 274
Some Notations and Concepts 276
The Mother of All Valuation Formulas 281
Consumption-based Theory 283
Contingent Claim Analysis 295
APPENDIX A: Building Block Data Model 310
The Instrument Model 310
The Portfolio Model 336
The Party Model 341
The Role Model 351
The Market Model 351
APPENDIX B: Code Lists 354
Analytic Scheme 354
Analytic Scheme Element 354
Asset Classification 354
Cash Flow Element Type 355
Cash Flow Fixing Type 361
Cash Flow Schedule Type 362
Constituent Function 363
Currency (ISO 4217) 364
Date Offset Rule 365
Date Roll Rule 366
Day Count Convention 366
Debit Credit 367
Income Event Type 367
Index Valuation Formula 368
Index Valuation Variable 368
Index Weighting Variable 368
Industry Scheme 369
Industry Scheme Value 369
Instrument Status 370
Issuance Date Type 371
Issuance Transaction Type 372
Numbering Scheme 373
Portfolio Version Scheme 374
Price Income Inclusion 374
Price Type 375
Quotation Basis 377
Party Account Amount Function 378
Party Account Scheme 380
Party Account Scheme Element 380
Party Account Status 382
Party Type 382
Party Status 382
Rating Scheme 383
Repetition Period Type 385
Unit 385
Underlying Type 386
References 388
Index 390

Produkt-Details

• Erscheint lt. Verlag: 22.10.2009
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• ISBN-10: 0-08-092304-6 / 0080923046
• ISBN-13: 978-0-08-092304-8 / 9780080923048