Pricing, Risk, and Performance Measurement in Practice

Wolfgang Schwerdt and Marcelle von Wendland
Additional contact information
Wolfgang Schwerdt: Senior Data Quality Analyst, Optum Analytics
Marcelle von Wendland: Vice President for FINCORE risk analystics, Finsoft Financial Systems, Ltd

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: 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.

Date: 2009 Originally published 2009-10-22.
Edition: 1
ISBN: 978-0-12-374521-7
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/book/9780123745217
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:monogr:9780123745217

Access Statistics for this book

More books in Elsevier Monographs from Elsevier
Bibliographic data for series maintained by ().