Pricing, Risk, and Performance Measurement in Practice
The Building Block Approach to Modeling Instruments and Portfolios
- Wolfgang Schwerdt, Senior Economist-Statistician at the European Central Bank
- Marcelle von Wendland, Vice President for FINCORE risk analystics, Finsoft Financial Systems, Ltd
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.
Risk Managers, Portfolio Analysts, Financial Analysts, Business Analysts, Data Project Managers, Systems and Data Analysts and Developers.Secondary: Analysts at Financial Market Regulators such as Central Banks and Federal Reserve Bank, analysts at software vendors working with financial data