Pricing, Risk, and Performance Measurement in Practice

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

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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.
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Product details

  • Hardback | 398 pages
  • 187.96 x 236.22 x 30.48mm | 975.22g
  • Academic Press Inc
  • San Diego, United States
  • English
  • 0123745217
  • 9780123745217

Table of contents

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

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

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

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
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