Pricing Risk And Performance Measurement In Practice

Author : Wolfgang Schwerdt,Marcelle von Wendland
Publisher : Academic Press
Page : 398 pages
File Size : 51,7 Mb
Release : 2009-10-22
Category : Business & Economics
ISBN : 0080923046

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Pricing, Risk, and Performance Measurement in Practice by Wolfgang Schwerdt,Marcelle von Wendland Pdf

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.

Author : Gordon Schulze
Publisher : Unknown
Page : 0 pages
File Size : 48,7 Mb
Release : 2022*
Category : Electronic
ISBN : OCLC:1369151547

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Essays on Performance Measurement and Risk Pricing by Gordon Schulze Pdf

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 327 pages
File Size : 43,8 Mb
Release : 2021-10-18
Category : Business & Economics
ISBN : 9781119838845

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Practical Risk-Adjusted Performance Measurement by Carl R. Bacon Pdf

Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 320 pages
File Size : 50,5 Mb
Release : 2021-10-22
Category : Business & Economics
ISBN : 9781119838876

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Practical Risk-Adjusted Performance Measurement by Carl R. Bacon Pdf

Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.

Author : William Bain
Publisher : Woodhead Publishing
Page : 226 pages
File Size : 51,8 Mb
Release : 1996-02-28
Category : Business & Economics
ISBN : 1855731959

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Investment Performance Measurement by William Bain Pdf

This book is split into four distinct sections to provide a complete account of investment performance measurement. The first section examines the development of the concept of performance measurement with the evolution of benchmarks and the increasing sophistication of performance analysis. The practical implications of performance measurement are tackled in the second section, with particular emphasis on the calculations that can be used to derive a rate of return for a fund and risk is also examined in detail. The third section covers the performance measurement of pension funds over the last 25 years and the lessons that can be learned about the investment performance and measurement process. The final section considers the future prospects for performance measurement and proposes potential future directions for the measurement of investment performance.

Author : Andy Neely
Publisher : Cambridge University Press
Page : 386 pages
File Size : 54,5 Mb
Release : 2002-03-07
Category : Business & Economics
ISBN : 052180342X

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Business Performance Measurement by Andy Neely Pdf

A multidisciplinary book on performance measurement that will appeal to students, researchers and managers.

Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
Publisher : McGraw Hill Professional
Page : 14 pages
File Size : 48,7 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780071733137

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Portfolio Performance Measurement and Benchmarking, Chapter 7 - Some Foundations by Jon A. Christopherson,David R. Carino,Wayne E. Ferson Pdf

Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.

Author : Alex Greyserman,Kathryn Kaminski
Publisher : John Wiley & Sons
Page : 464 pages
File Size : 45,5 Mb
Release : 2014-08-26
Category : Business & Economics
ISBN : 9781118891025

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Trend Following with Managed Futures by Alex Greyserman,Kathryn Kaminski Pdf

An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.

Author : John Knight
Publisher : Elsevier
Page : 365 pages
File Size : 54,6 Mb
Release : 2002-07-10
Category : Business & Economics
ISBN : 9780080497631

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Performance Measurement in Finance by John Knight Pdf

The distinction between out-performance of an Investment fund or plan manager vs rewards for taking risks is at the heart of all discussions on Investment fund performance measurement of fund managers. This issue is not always well-understood and the notion of risk adjusting performance is not universally accepted. Performance Measurement in Finance addresses this central issue. The topics covered include evaluation of investment fund management, evaluation of the investment fund itself, and stock selection performance. The book also surveys and critiques existing methodologies of performance measurement and covers new innovative approaches to performance measurement. The contributors to the text include both academics and practitioners providing comprehensive coverage of the topic areas. Performance Measurement in Finance is all about how to effectively measure financial performance of the fund manager and investment house managers, what measures need to be put in place and technically what works and what doesn't. It covers risk, and what's acceptable and what isn't, how, in short, to manage risk. Includes practical information to enable Investment/Portfolio Managers to understand and evaluate fund managers, the funds themselves, and Investment firms Provides a full overview of the topic as well as in-depth technical analysis

Author : Carl R. Bacon
Publisher : John Wiley & Sons
Page : 488 pages
File Size : 53,8 Mb
Release : 2011-02-23
Category : Business & Economics
ISBN : 9781119995470

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Practical Portfolio Performance Measurement and Attribution by Carl R. Bacon Pdf

Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

Author : Michael Pidd
Publisher : Cambridge University Press
Page : 128 pages
File Size : 45,7 Mb
Release : 2012-02-02
Category : Business & Economics
ISBN : 9781107378018

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Measuring the Performance of Public Services by Michael Pidd Pdf

Measuring the performance of public agencies and programmes is essential to ensure that citizens enjoy quality services and that governments can be sure that taxpayers receive value for money. As such, good performance measurement is a crucial component of improvement and planning, monitoring and control, comparison and benchmarking and also ensures democratic accountability. This book shows how the principles, uses and practice of performance measurement for public services differ from those in for-profit organisations, being based on the need to add public value rather than profit. It describes methods and approaches for measuring performance through time, for constructing and using scorecards, composite indicators, the use of league tables and rankings and argues that data-envelopment analysis is a useful tool when thinking about performance. This demonstrates the importance of allowing for the multidimensional nature of performance, as well as the need to base measurement on a sound technical footing.

Author : Philip Lawton, CIPM,Todd Jankowski, CFA
Publisher : John Wiley & Sons
Page : 984 pages
File Size : 55,9 Mb
Release : 2009-05-18
Category : Business & Economics
ISBN : 9780470473719

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Investment Performance Measurement by Philip Lawton, CIPM,Todd Jankowski, CFA Pdf

Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.

Author : Donald R. Van Deventer,Mark Mesler,Kenji Imai
Publisher : John Wiley & Sons
Page : 502 pages
File Size : 49,9 Mb
Release : 2011-09-29
Category : Business & Economics
ISBN : 9781118177327

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Advanced Financial Risk Management by Donald R. Van Deventer,Mark Mesler,Kenji Imai Pdf

An in-depth look at financial risk management Advanced Financial Risk Management integrates interest rate risk, credit risk, foreign exchange risk, and capital allocation using a consistent risk management approach. It explains, in detailed, yet understandable terms, the analytics of these issues from A to Z. Written by experienced risk managers, this book bridges the gap between the idealized assumptions used for valuation and the realities that must be reflected in management actions. It covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Donald R. Van Deventer (Hawaii) founded the Kamakura Corporation in April 1990 and is currently President. In 2003, he was voted into the Risk Hall of Fame for having made a profound contribution to the field of risk management. Kenji Imai (Hawaii) heads Software Development for Kamakura and participates in selected Japan-related financial advisory assignments. Mark Mesler (Hawaii) heads the information production for Kamakura Risk Information Services.

Author : Bloomsbury Information Ltd.
Publisher : A&C Black
Page : 242 pages
File Size : 50,7 Mb
Release : 2010-07-01
Category : Business & Economics
ISBN : 9781849300032

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Approaches to Enterprise Risk Management by Bloomsbury Information Ltd. Pdf

In the current climate, it is essential to identify risk exposure across a firm to mitigate or minimise potential threats to its financial health. Approaches to Enterprise Risk Management is a multi-author volume encompassing best-practice approaches in a range of activities, written by leading experts in the field of risk management.

Author : Jacques Van Steen,European Process Safety Centre
Publisher : IChemE
Page : 152 pages
File Size : 45,6 Mb
Release : 1996
Category : Business & Economics
ISBN : 0852953828

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Safety Performance Measurement by Jacques Van Steen,European Process Safety Centre Pdf

A collection of practical examples, demonstrating how a variety of multinational companies measure the effectiveness of safety management systems. Each case reflects the specific needs and characteristics of the individual company.