Pricing Risk and Performance Measurement in Practice The Building Block Approach to Modeling Instruments and Portfolios 1st Edition by Wolfgang Schwerdt, Marcelle von Wendland 0123745217 9780123745217

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ISBN 10: 0123745217

ISBN 13: 9780123745217

Author: Wolfgang Schwerdt, Marcelle von Wendland

 

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.

Pricing Risk and Performance Measurement in Practice The Building Block Approach to Modeling Instruments and Portfolios 1st Table of contents:

Chapter 1: Introducing Model Implementation with the Building Block Method

Why Use a Building Block Approach?

An Implementation Framework

Chapter 2: Introducing the Building Block Data Model

Considerations When Modelling Financial Data

The Data Model

Data Quality Management

Chapter 3: Modelling Financial Instruments

Modelling Financial Instruments

Chapter 4: Introduction to Practical Valuation

The Basic Tools for Valuation

Valuing Financial Assets

Valuing Real Assets

Chapter 5: Implementing Valuation Models

Valuation Model Implementation—Step by Step

Valuation Model Implementation Checklists

More and More Advanced Pricing Models

Chapter 6: Introduction to Practical Risk Modelling

The Purpose of Risk Management

Early Approaches to Risk Management

Modern Approaches to Risk Management

Chapter 7: Implementing Risk Models

Risk Model Implementation—Step by Step

Risk Model Implementation Checklists

Further Risk Models and Implementation Details from Historical to Parametric and Monte Carlo Based A

Chapter 8: Introducing Performance Measurement

The Role of Performance Measurement

Performance Measurement

Performance Attribution

Performance Using Risk Adjusted Return on Capital

Investment Performance Management

Chapter 9: Implementing Performance Models

Performance Measurement Implementation: Step by Step

Performance Measurement Implementation Checklists

Further Performance Measurement Models

Chapter 10: Understanding Valuation Theory

The Purpose of Valuation Theory

Some Notations and Concepts

The Mother of All Valuation Formulas

Consumption-based Theory

Contingent Claim Analysis

APPENDIX A: Building Block Data Model

The Instrument Model

The Portfolio Model

The Party Model

The Role Model

The Market Model

APPENDIX B: Code Lists

Analytic Scheme

Analytic Scheme Element

Asset Classification

Cash Flow Element Type

Cash Flow Fixing Type

Cash Flow Schedule Type

Constituent Function

Currency (ISO 4217)

Date Offset Rule

Date Roll Rule

Day Count Convention

Debit Credit

Income Event Type

Index Valuation Formula

Index Valuation Variable

Index Weighting Variable

Industry Scheme

Industry Scheme Value

Instrument Status

Issuance Date Type

Issuance Transaction Type

Numbering Scheme

Portfolio Version Scheme

Price Income Inclusion

Price Type

Quotation Basis

Party Account Amount Function

Party Account Scheme

Party Account Scheme Element

Party Account Status

Party Type

Party Status

Rating Scheme

Repetition Period Type

Unit

Underlying Type

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Wolfgang Schwerdt,Marcelle von Wendland,Pricing,Performance