Pricing Risk and Performance Measurement in Practice

Pricing  Risk  and Performance Measurement in Practice
Author: Wolfgang Schwerdt,Marcelle von Wendland
Publsiher: Academic Press
Total Pages: 398
Release: 2009-10-22
ISBN: 9780080923048
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Pricing Risk and Performance Measurement in Practice Book Excerpt:

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.

Outlines and Highlights for Pricing Risk and Performance Measurement in Practice

Outlines and Highlights for Pricing  Risk  and Performance Measurement in Practice
Author: Cram101 Textbook Reviews
Publsiher: Academic Internet Pub Incorporated
Total Pages: 152
Release: 2010-12-01
ISBN: 9781617443077
Category: Education
Language: EN, FR, DE, ES & NL

Outlines and Highlights for Pricing Risk and Performance Measurement in Practice Book Excerpt:

Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780123745217 .

Trend Following with Managed Futures

Trend Following with Managed Futures
Author: Alex Greyserman,Kathryn Kaminski
Publsiher: John Wiley & Sons
Total Pages: 464
Release: 2014-08-26
ISBN: 1118891023
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Trend Following with Managed Futures Book Excerpt:

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.

Investment Performance Measurement

Investment Performance Measurement
Author: Philip Lawton, CIPM,Todd Jankowski, CFA
Publsiher: John Wiley & Sons
Total Pages: 984
Release: 2009-05-18
ISBN: 9780470473719
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Investment Performance Measurement Book Excerpt:

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.

Advanced Financial Risk Management

Advanced Financial Risk Management
Author: Donald R. Van Deventer,Kenji Imai,Mark Mesler
Publsiher: John Wiley & Sons
Total Pages: 350
Release: 2013-02-06
ISBN: 1118278550
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Advanced Financial Risk Management Book Excerpt:

Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives. Practical tools for managing risk in the financial world Updated to include the most recent events that have influenced risk management Topics covered include the basics of present value, forward rates, and interest rate compounding; American vs. European fixed income options; default probability models; prepayment models; mortality models; and alternatives to the Vasicek model Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.

ACCA Paper P5 Advanced Performance Management Practice and revision kit

ACCA Paper P5   Advanced Performance Management Practice and revision kit
Author: BPP Learning Media
Publsiher: BPP Learning Media
Total Pages: 601
Release: 2013-01-01
ISBN: 1445369583
Category: Business & Economics
Language: EN, FR, DE, ES & NL

ACCA Paper P5 Advanced Performance Management Practice and revision kit Book Excerpt:

The examiner-reviewed P5 Practice and Revision Kit provides invaluable guidance on how to approach the exam and contains past ACCA exam questions for you to try. The examiner has emphasised that simply understanding the advantages and disadvantages of different performance management approaches will not be sufficient to pass the exam. You must apply specific knowledge to the scenarios in the exam questions. The questions in the Practice and Revision Kit reflect the scenario-based questions you will find on the exam.

Approaches to Enterprise Risk Management

Approaches to Enterprise Risk Management
Author: Bloomsbury Publishing
Publsiher: Bloomsbury Publishing
Total Pages: 240
Release: 2010-07-01
ISBN: 1849300275
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Approaches to Enterprise Risk Management Book Excerpt:

Approaches to Enterprise Risk Management is a multi-author book written by leading experts in the field of risk management including Aswath Damodoran, John C. Groth and David Shimko. It is a valuable tool that enables you to assess the potential business threats, both from within your organization and from external sources. It comprises over 25 chapters covering the range of risks your organization might face including financial, strategic, operational risks. It offers you over 20 practical step-by-step guides on the required steps to cope with any detrimental event that could impact on your company's financial health. There are also a range of checklists including Balancing Hedging Objectives with Accounting Rules (FAS 133) , Creating a Risk Register, What Is Forensic Auditing? And Managing and Auditing the Risk of Business Interruption, Captive Insurance Companies: How to Reduce Your Costs, Hedging Credit Risk-Case Studies and Strategies.

Approaches to Enterprise Risk Management

Approaches to Enterprise Risk Management
Author: Various Authors
Publsiher: A&C Black
Total Pages: 240
Release: 2010-07-01
ISBN: 1849300038
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Approaches to Enterprise Risk Management Book Excerpt:

Best practice solutions from the world's leading experts in risk management.

The Practice of Supply Chain Management Where Theory and Application Converge

The Practice of Supply Chain Management  Where Theory and Application Converge
Author: Terry P. Harrison,Hau L. Lee,John J. Neale
Publsiher: Springer Science & Business Media
Total Pages: 356
Release: 2006-04-11
ISBN: 0387272755
Category: Business & Economics
Language: EN, FR, DE, ES & NL

The Practice of Supply Chain Management Where Theory and Application Converge Book Excerpt:

For over a decade, there has been an increasing interest in the use of supply chain methods to improve performance across the entire business enterprise. Numerous industries have recognized the importance of efficient supply chain integration, and, as a result, supply chain management has become a standard part of business practice. The Practice of Supply Chain Management: Where Theory and Application Converge is a must-have volume for users of supply chain management methods, supply chain management researchers, and students in supply chain management. The objective of the book is to provide an overview of this important practice-research cycle, and it is organized into three sections: Core Concepts and Practices; Emerging Supply Chain Practices; and Supply Chain in Action. The focus of the book is on supply chain practice, but supply chain practice that has been heavily influenced by supply chain research. It is this synergy between research and practice that continues to simulate new directions for research.

Thailand

Thailand
Author: International Monetary Fund. Monetary and Capital Markets Department
Publsiher: International Monetary Fund
Total Pages: 258
Release: 2019-10-24
ISBN: 1513517597
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Thailand Book Excerpt:

This Detailed Assessment of Observance on the Basel Core Principles (BCP) for effective banking supervision on Thailand highlights that there have been significant enhancements to the legal framework and the supervisory process since the last BCP review, resulting in high compliance. The commercial banking sector appears to be sound and stable with a diversified lending profile and a steady source of funding. The involvement of other ministerial authorities in Specialized Financial Institutions supervision may affect standard-setting processes and the mindset of key decision makers for commercial banks when trying to level regulatory standards. The supervisory framework and practices provide the foundation for the continued development of risk-based supervision. Notifications and examination manuals increasingly focus on analysis of qualitative factors such as governance, risk management and risk appetite statements to determine the bank’s composite rating. The report recommends that efficiency of enforcement actions would be increased by aligning Financial Institutions Business Act requirements and Bank of Thailand internal practices.

Streetwise

Streetwise
Author: Peter L. Bernstein,Frank J. Fabozzi
Publsiher: Princeton University Press
Total Pages: 325
Release: 2021-07-13
ISBN: 1400829402
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Streetwise Book Excerpt:

Streetwise brings together classic articles from the publication that helped revolutionize the way Wall Street does business. During the recession of the early 1970s, investment professionals turned to the theories of a small band of mathematical economists, whose ideas on such topics as portfolio development and risk management eventually led to the reform and maintenance of entire economies. This was the first time economists and practitioners had joined forces to such remarkable effect. Economist and money manager Peter Bernstein sought to encourage this exchange when, in 1974, he founded The Journal of Portfolio Management (JPM). For this present volume, Bernstein and JPM editor Frank Fabozzi have selected forty-one of the most influential articles to appear in the journal over the past twenty-five years, some of them written by Nobel laureates and all aimed at stimulating dialogue between academic economists wishing to understand the real-world problems of finance and investment professionals wanting to bring the most advanced theoretical work to bear on commerce. Financial economics is a youthful but vital field. Streetwise not only reflects its fascinating history but through articles on topics ranging from stock prices and risk management to bonds and real estate also offers relevant insights for today. The contributors are: R. Akhoury, R. D. Arnott, G. L. Bergstrom, G. O. Bierwag, F. Black, R. Bookstaber, K. Cholerton, R. Clarke, D. M. Cutler, C. P. Dialynas, P. O. Dietz, D. H. Edington, M. W. Einhorn, J. Evnine, R. Ferguson, P. M. Firstenberg, H. R. Fogler, F. Garrone, R. Grieves, R. C. Grinold, D. J. Hardy, D. P. Jacob, B. I. Jacobs, R. H. Jeffrey, R. N. Kahn, G. G. Kaufman, M. Kritzman, R. Lanstein, C. M. Latta, M. L. Leibowitz, K. N. Levy, R. Lochoff, R. W. McEnally, K. R. Meyer, E. M. Miller, A. F. Perold, P. Pieraerts, J. M. Poterba, K. Reid, R. R. Reitano, R. Roll, B. Rosenberg, S. A. Ross, M. Rubinstein, A. Rudd, P. A. Samuelson, R. Schweitzer, C. Seix, W. F. Sharpe, B. Solnik, L. H. Summers, A. L. Toevs, J. L. Treynor, A. Weinberger, and R. C. Zisler.

Investment Performance Measurement

Investment Performance Measurement
Author: William Bain
Publsiher: Elsevier
Total Pages: 224
Release: 1996-02-28
ISBN: 0857099973
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Investment Performance Measurement Book Excerpt:

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.

Risk Management

Risk Management
Author: Sergio M. Focardi,Caroline Jonas
Publsiher: John Wiley & Sons
Total Pages: 226
Release: 1998-01-15
ISBN: 9781883249359
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Risk Management Book Excerpt:

Risk management is one of the most critical areas in investment and finance-especially in today's volatile trading environment. With Risk Management: Framework, Methods, and Practice you'll learn about risk management across industries through firsthand, real life war stories rather than mathematical formulas. Concise and readable, it covers both the theoretical underpinnings of risk management, as well as practical techniques for coping with financial market volatility. Focardi and Jonas give you a broad conceptual view of risk management: how far we have progressed, and the problems that remain. Using vivid analogies, this book takes you through key risk measurement issues such as fat tails and extreme events, the pros and cons of VAR, and the different ways of modeling credit risk. This book is a rarity in that it does not presuppose any knowledge of sophisticated mathematical techniques, but rather interprets these in their intuitive sense.

Contracts Performance Measurements and Accountability in the Public Sector

Contracts  Performance Measurements  and Accountability in the Public Sector
Author: Gavin Drewry,Carsten Greve,Thierry Tanquerel
Publsiher: IOS Press
Total Pages: 185
Release: 2005
ISBN: 9781586034962
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Contracts Performance Measurements and Accountability in the Public Sector Book Excerpt:

This book addresses issues to do with public accountability, audit and performance measurement that are both highly topical and of crucial importance to the theory and practice of public administration in an era of contractualized public management. The literature on public sector contracting - covering both 'hard' agreements (ones that are legally enforceable) and 'soft' agreements (enforced by negotiation and mutual trust) - has been growing for some time and the present book adds a primarily European perspective on contracting, performance-based management and accountability. One important aspect of this study is its recognition that those responsible for monitoring public services, and holding them to account, have had - to an increasing extent - to reconcile tensions between, on the one hand, the need for strong oversight and, on the other, the encouragement of innovation and risk in an increasingly competitive and entrepreneurial public service culture. Following an introductory overview by the three editors the book is in three parts.The first part deals with the theory and practice of performance measurement and evaluation; the second part provides a series of specific case studies of audit and accountability in a variety of countries and contexts; the third part offers some wider, cross-cutting perspectives. Based on the work of the EGPA permanent study group on the history of contractualization, Contracts, Performance Measurement and Accountability in the Public Sector draws upon the wide expertise and research interests of academics and practitioners from the United Kingdom, Denmark, Switzerland, Belgium, Sweden and the USA.

The Routledge Companion to Accounting and Risk

The Routledge Companion to Accounting and Risk
Author: Margaret Woods,Philip Linsley
Publsiher: Taylor & Francis
Total Pages: 310
Release: 2017-03-27
ISBN: 1317507940
Category: Business & Economics
Language: EN, FR, DE, ES & NL

The Routledge Companion to Accounting and Risk Book Excerpt:

To date, there has been little consideration of the many different ways in which accounting and risk intersect, despite organisations being more determined than ever to build resilience against potential risks. This comprehensive volume overcomes this gap by providing an overview of the field, drawing together current knowledge of risk in a wide range of different accounting contexts. Key themes such as corporate governance, trust, uncertainty and climate change are covered by a global array of contributing scholars. These contributions are divided into four areas: The broader aspects of risk and risk management Risk in financial reporting Risk in management accounting Risk monitoring The book is supported by a series of illustrative case studies which help to bring together theory and practice. With its wealth of examples and analyses, this volume provides essential reading for students, scholars and practitioners charged with understanding diverse facets of risk in the context of accounting in the business world.

ACCA Paper P4 Advanced Financial Management Practice and revision kit

ACCA Paper P4   Advanced Financial Management Practice and revision kit
Author: BPP Learning Media
Publsiher: BPP Learning Media
Total Pages: 505
Release: 2013-01-01
ISBN: 1445369575
Category: Business & Economics
Language: EN, FR, DE, ES & NL

ACCA Paper P4 Advanced Financial Management Practice and revision kit Book Excerpt:

The examiner-reviewed P4 Practice & Revision Kit provides invaluable guidance on how to approach the exam. Questions are grouped by key topic areas and integrated where appropriate. Three mock examinations provide ample opportunity to practise questions and marking schemes show you how the examiner awards marks.

Risk Management for Central Banks and Other Public Investors

Risk Management for Central Banks and Other Public Investors
Author: Ulrich Bindseil,Fernando Gonzalez,Evangelos Tabakis
Publsiher: Cambridge University Press
Total Pages: 514
Release: 2009-01-15
ISBN: 0521518563
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Risk Management for Central Banks and Other Public Investors Book Excerpt:

A survey of the fundamental issues and techniques surrounding risk management.

Measuring and Managing Liquidity Risk

Measuring and Managing Liquidity Risk
Author: Antonio Castagna,Francesco Fede
Publsiher: John Wiley & Sons
Total Pages: 598
Release: 2013-09-03
ISBN: 1119990246
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Measuring and Managing Liquidity Risk Book Excerpt:

A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.

Financial Risk Management

Financial Risk Management
Author: Jimmy Skoglund,Wei Chen
Publsiher: John Wiley & Sons
Total Pages: 576
Release: 2015-09-08
ISBN: 1119157242
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Financial Risk Management Book Excerpt:

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Transfer Pricing for Financial Institutions

Transfer Pricing for Financial Institutions
Author: John Smullen
Publsiher: Woodhead Publishing
Total Pages: 160
Release: 2001-07-17
ISBN: 9781855733725
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Transfer Pricing for Financial Institutions Book Excerpt:

A cutting-edge study of transfer pricing in the increasingly competitive financial services sector. It examines the many issues involved and suggests different techniques for establishing efficient transfer pricing systems. This book is essential reading for all organisations that raise and loan funds in today's global markets.