東華大學圖書館 |

Pricing, risk, and performance measurement in practice = the building block approach to modeling instruments and portfolios /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Pricing, risk, and performance measurement in practice/ Wolfgang Schwerdt, Marcelle von Wendland.
Reminder of title:	the building block approach to modeling instruments and portfolios /
Author:	Schwerdt, Wolfgang.{me_controlnum}
other author:	Wendland, Marcelle von.
Published:	London ;Elsevier/MondoVisione, : c2010.,
Description:	1 online resource (xx, 377 p.) :ill.
[NT 15003449]:	PART I -- 1.0Foreword 600 -- 2.0Introduction to Pricing, Risk and Performance Measurement600 -- 2.01Who is the book for?500 -- 2.02Foundations of Pricing 1,500 -- 2.03Risk Measurement Basics 1,500 -- 2.04Understanding Performance measurement 1,500 -- PART II -- 3.0Approaches to Pricing6000 -- 4.0Pricing Fixed Cash flows10,000 -- 5.0Pricing Equity Cash flows10,000 -- 6.0Pricing Derivative Cash flows10,000 -- 7.0Putting it All Together: Pricing Complex Instruments5,000 -- PART III -- 8.0Approaches to Risk Measurement10,000 -- 9.0Implementing VAR Risk Measurement8,000 -- 10.0Implementing ETL Risk Measurement8,000 -- 11.0Implementing Risk Measurement Reports5,000 -- PART IV -- 12.0Approaches to Performance Measurement10,000 -- 13.0Implementing Portfolio Performance Measurement10,000 -- 14.0Implementing Risk Adjusted Profit Measures10,000.
Subject:	Econometrics. -
Online resource:	http://www.sciencedirect.com/science/book/9780123745217
ISBN:	9780123745217

Pricing, risk, and performance measurement in practice = the building block approach to modeling instruments and portfolios /
Schwerdt, Wolfgang.{me_controlnum}

Pricing, risk, and performance measurement in practicethe building block approach to modeling instruments and portfolios /[electronic resource] :Wolfgang Schwerdt, Marcelle von Wendland. - London ;Elsevier/MondoVisione,c2010. - 1 online resource (xx, 377 p.) :ill. - The Elsevier and Mondo Visione world capital markets series. - Elsevier and Mondo Visione world capital markets series..

Includes bibliographical references and index.

PART I -- 1.0Foreword 600 -- 2.0Introduction to Pricing, Risk and Performance Measurement600 -- 2.01Who is the book for?500 -- 2.02Foundations of Pricing 1,500 -- 2.03Risk Measurement Basics 1,500 -- 2.04Understanding Performance measurement 1,500 -- PART II -- 3.0Approaches to Pricing6000 -- 4.0Pricing Fixed Cash flows10,000 -- 5.0Pricing Equity Cash flows10,000 -- 6.0Pricing Derivative Cash flows10,000 -- 7.0Putting it All Together: Pricing Complex Instruments5,000 -- PART III -- 8.0Approaches to Risk Measurement10,000 -- 9.0Implementing VAR Risk Measurement8,000 -- 10.0Implementing ETL Risk Measurement8,000 -- 11.0Implementing Risk Measurement Reports5,000 -- PART IV -- 12.0Approaches to Performance Measurement10,000 -- 13.0Implementing Portfolio Performance Measurement10,000 -- 14.0Implementing Risk Adjusted Profit Measures10,000.

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.

ISBN: 9780123745217

Source: 156906:157070Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

542934
Econometrics.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HB139 / .S39 2010

Dewey Class. No.: 330.01/5195

Pricing, risk, and performance measurement in practice = the building block approach to modeling instruments and portfolios /
LDR:04550cmm 2200457Ia 4500 001 1151451
003 OCoLC
005 20111122091033.0
006 m d
007 cr cn|||||||||
008 120605s2010 enka ob 001 0 eng d
019 $a 551740464
020 $a 9780123745217
020 $a 0123745217
020 $a 9780080923048 (electronic bk.)
020 $a 0080923046 (electronic bk.)
029 1 $a CDX $b 11333057
029 1 $a AU@ $b 000045964100
029 1 $a NZ1 $b 13540100
035 $a (OCoLC)528550722 $z (OCoLC)551740464
035 $a ocn528550722
037 $a 156906:157070 $b Elsevier Science & Technology $n http://www.sciencedirect.com
040 $a OPELS $b eng $c OPELS $d CDX $d OCLCQ $d N$T $d EBLCP $d YDXCP $d IDEBK $d MHW $d OCLCQ
049 $a TEFA
050 4 $a HB139 $b .S39 2010
072 7 $a BUS $x 021000 $2 bisacsh
072 7 $a BUS $x 061000 $2 bisacsh
082 0 4 $a 330.01/5195 $2 22
100 1 $a Schwerdt, Wolfgang.{me_controlnum} $3 1458122
245 1 0 $a Pricing, risk, and performance measurement in practice $h [electronic resource] : $b the building block approach to modeling instruments and portfolios / $c Wolfgang Schwerdt, Marcelle von Wendland.
260 $a London ; $a Burlington, Mass. : $b Elsevier/MondoVisione, $c c2010.
300 $a 1 online resource (xx, 377 p.) : $b ill.
490 1 $a The Elsevier and Mondo Visione world capital markets series
504 $a Includes bibliographical references and index.
505 0 $a PART I -- 1.0Foreword 600 -- 2.0Introduction to Pricing, Risk and Performance Measurement600 -- 2.01Who is the book for?500 -- 2.02Foundations of Pricing 1,500 -- 2.03Risk Measurement Basics 1,500 -- 2.04Understanding Performance measurement 1,500 -- PART II -- 3.0Approaches to Pricing6000 -- 4.0Pricing Fixed Cash flows10,000 -- 5.0Pricing Equity Cash flows10,000 -- 6.0Pricing Derivative Cash flows10,000 -- 7.0Putting it All Together: Pricing Complex Instruments5,000 -- PART III -- 8.0Approaches to Risk Measurement10,000 -- 9.0Implementing VAR Risk Measurement8,000 -- 10.0Implementing ETL Risk Measurement8,000 -- 11.0Implementing Risk Measurement Reports5,000 -- PART IV -- 12.0Approaches to Performance Measurement10,000 -- 13.0Implementing Portfolio Performance Measurement10,000 -- 14.0Implementing Risk Adjusted Profit Measures10,000.
520 $a 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.
588 $a Description based on print version record.
650 0 $a Econometrics. $3 542934
650 0 $a Finance $x Mathematical models. $3 578740
650 4 $a Econometrics. Finance $x Mathematical models. $3 1458124
650 7 $a BUSINESS & ECONOMICS $x Econometrics. $2 bisacsh $3 1458125
650 7 $a BUSINESS & ECONOMICS $x Statistics. $2 bisacsh $3 1458126
655 4 $a Electronic books. $2 lcsh $3 542853
700 1 $a Wendland, Marcelle von. $3 1458123
776 0 8 $i Print version: $a Schwerdt, Wolfgang. $t Pricing, risk, and performance measurement in practice. $d London ; Burlington, Mass. : Elsevier/MondoVisione, c2010 $z 9780123745217 $z 0123745217 $w (DLC) 2009015467 $w (OCoLC)319689884
830 0 $a Elsevier and Mondo Visione world capital markets series. $3 1068925
856 4 0 $3 ScienceDirect $u http://www.sciencedirect.com/science/book/9780123745217
938 $a Coutts Information Services $b COUT $n 11333057
938 $a EBL - Ebook Library $b EBLB $n EBL477395
938 $a YBP Library Services $b YANK $n 3124037
994 $a C0 $b TEF