Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios
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Elsevier u.a.
2010
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| 100 | 1 | |a Schwerdt, Wolfgang |d 1951- |e Verfasser |0 (DE-588)140969233 |4 aut | |
| 245 | 1 | 0 | |a Pricing, risk, and performance measurement in practice |b the building block approach to modeling instruments and portfolios |c Wolfgang Schwerdt ; Marcelle von Wendland |
| 264 | 1 | |a Amsterdam u.a. |b Elsevier u.a. |c 2010 | |
| 300 | |a XX, 377 S. |b graph. Darst. |c 25 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a The Elsevier and Mondo Visione world capital markets series | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 700 | 1 | |a Wendland, Michelle von |e Sonstige |4 oth | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018995858&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-018995858 | ||
Datensatz im Suchindex
| _version_ | 1804141177538084864 |
|---|---|
| adam_text | Titel: Pricing, risk, and performance measurement in practice
Autor: Schwerdt, Wolfgang
Jahr: 2010
Contents
About the Authors.....................................................................................................xiii
Preface.........................................................................................................................xv
Acknowledgements....................................................................................................xix
Chapter 1: Introducing Model Implementation with the Building
Block Method................................................................................................................1
1.1 Why Use a Building Block Approach?......................................................................1
1.2 An Implementation Framework..................................................................................4
1.2.1 The Iterative Process of Implementing Risk Models............................7
1.2.2 Modelling Methodology Perspective...................................................10
1.2.3 Modelling Requirements Perspective..................................................11
1.2.4 Modelling Architecture, Systems, and Operations Perspective..........13
Chapter 2: Introducing the Building Block Data Model.........................................15
2.1 Considerations When Modelling Financial Data.....................................................15
2.1.1 What Is Important to Store in Financial Instruments?........................16
2.1.2 Overview of the Conceptual Model Areas..........................................18
2.1.3 The Conceptual Data Model................................................................19
2.1.4 Modelling Conventions........................................................................21
2.2 The Data Model........................................................................................................23
2.2.1 The Instrument Model.........................................................................23
2.2.2 The Portfolio Model.............................................................................27
2.2.3 The Party Model..................................................................................28
2.2.4 The Role Model...................................................................................30
2.2.5 The Market Model...............................................................................32
2.3 Data Quality Management........................................................................................33
Chapter 3: Modelling Financial Instruments...........................................................35
3.1 Modelling Financial Instruments..............................................................................35
3.1.1 Where Does the Information Come From?.........................................36
3.1.2 A Real-Life Example...........................................................................37
3.1.3 Modelling of Cash Flow Structures.....................................................47
3.1.4 Structural Cash Flow Modelling Examples.........................................59
Chapter 4: Introduction to Practical Valuation........................................................77
4.1 The Basic Tools for Valuation..................................................................................77
4.1.1 Pricing with Discounted Cash Flows..................................................78
4.1.2 Interest Rates and Yield Curves..........................................................84
4.1.3 Bèta and the Cost of Equity................................................................91
4.1.4 Option Pricing......................................................................................94
4.2 Valuing Financial Assets...........................................................................................95
4.2.1 Valuing Bonds and Other Debt............................................................95
4.2.2 Valuing Equities.................................................................................102
4.2.3 Valuing Forwards and Futures...........................................................107
4.2.4 Valuing Options..................................................................................110
4.3 Valuing Real Assets................................................................................................111
4.3.1 Valuing a Business.............................................................................111
4.3.2 Valuing Real Estate Property.............................................................113
4.3.3 Valuing Large Projects: Ships, Utilities, and More...........................113
Chapter 5: Implementing Valuation Models...........................................................115
5.1 Valuation Model Implementation?Step by Step..................................................115
5.1.1 Decomposing Instruments into Building Blocks...............................116
5.1.2 Mapping Building Blocks to Valuation Models................................120
5.1.3 Creating and Calibrating Valuation Model Inputs.............................121
5.1.4 Creating Valuation Processes.............................................................126
5.1.5 Refining Your Valuation Model Implementation..............................130
5.2 Valuation Model Implementation Checklists.........................................................132
5.2.1 Methodology Perspective?Valuation Governance Oversight..........135
5.2.2 Business Perspective?Valuation Business Ownership....................135
5.2.3 Architecture Perspective?Valuation Model Designer......................136
5.2.4 Systems Perspective?Valuation Model Builder...............................137
5.2.5 Operating Perspective?Valuation Model Operator..........................137
5.3 More and More Advanced Pricing Models............................................................138
Chapter 6: Introduction to Practical Risk Modelling.............................................139
6.1 The Purpose of Risk Management.........................................................................139
6.1.1 Decision Making................................................................................140
6.1.2 Accountability....................................................................................142
6.2 Early Approaches to Risk Management.................................................................144
6.2.1 Sensitivity Analysis............................................................................144
6.2.2 Risk Simulation..................................................................................153
6.3 Modern Approaches to Risk Management.............................................................155
6.3.1 Value At Risk (VAR).........................................................................158
6.3.2 Expected Tail Loss (ETL)..................................................................161
Chapter 7: Implementing Risk Models....................................................................165
7.1 Risk Model Implementation?Step by Step..........................................................165
7.1.1 Composing the Risk Model Structure...............................................166
7.1.2 Mapping Building Blocks to Risk Models........................................171
7.1.3 Creating and Calibrating Risk Model Inputs....................................172
7.1.4 Creating Risk Measurement Processes..............................................177
7.1.5 Renning Your Risk Model Implementation......................................181
7.2 Risk Model Implementation Checklists.................................................................183
7.2.1 Methodology Perspective: Risk Governance Oversight...................183
7.2.2 Business Perspective: Risk Business Ownership..............................186
7.2.3 Architecture Perspective: Risk Model Designer...............................186
7.2.4 Systems Perspective: Risk Model Builder........................................187
7.2.5 Operating Perspective: Risk Model Operator...................................187
7.3 Further Risk Models and Implementation Details from Historical to
Parametric and Monte Carlo Based Approaches...................................................188
Chapter 8: Introducing Performance Measurement..............................................191
8.1 The Role of Performance Measurement................................................................191
8.1.1 Investment Management and Other Businesses................................192
8.1.2 Governance and Accountability.........................................................194
8.1.3 Performance Management.................................................................196
8.1.4 Integrated Investment Management...................................................196
8.2 Performance Measurement.....................................................................................196
8.2.1 Valuation for Performance Measurement..........................................197
8.2.2 Simple Performance...........................................................................199
8.2.3 Money-Weighted Performance..........................................................200
8.2.4 Time-Weighted Performance.............................................................201
8.2.5 Risk Adjusted Performance...............................................................204
8.3 Performance Attribution.........................................................................................210
8.3.1 Benchmarks........................................................................................210
8.3.2 Absolute Attribution...........................................................................213
8.3.3 Relative Attribution............................................................................214
8.4 Performance Using Risk Adjusted Return on Capital...........................................222
8.4.1 RAROC..............................................................................................222
8.4.2 RORAC..............................................................................................224
8.4.3 RARORAC........................................................................................224
8.5 Investment Performance Management...................................................................227
Chapter 9: Implementing Performance Models.....................................................231
9.1 Performance Measurement Implementation: Step by Step....................................231
9.1.1 Composing the Performance Portfolio Model...................................232
9.1.2 Defining Performance Benchmarks...................................................239
9.1.3 Mapping Benchmarks to Portfolios...................................................242
9.1.4 Creating Performance Measurement Processes.................................242
9.1.5 Renning Your Performance Measurement
Implementation..................................................................................244
9.2 Performance Measurement Implementation Checklists.........................................245
9.2.1 Methodology Perspective: Performance Governance
Oversight............................................................................................248
9.2.2 Business Perspective: Performance Business Ownership.................248
9.2.3 Architecture Perspective: Performance Model Designer..................249
9.2.4 Systems Perspective: Performance Model Builder...........................250
9.2.5 Operating Perspective: Performance Model Operator......................250
9.3 Further Performance Measurement Models...........................................................251
Chapter 10: Understanding Valuation Theory........................................................253
10.1 The Purpose of Valuation Theory.........................................................................253
10.2 Some Notations and Concepts..............................................................................255
10.2.1 On the Use and Meaningfulness of Models..................................256
10.2.2 Random Variables..........................................................................256
10.2.3 Time and lts Notation....................................................................258
10.2.4 Discount Factor and Future Value.................................................259
10.3 The Mother of All Valuation Formulas................................................................260
10.4 Consumption-based Theory..................................................................................262
10.4.1 Utility Functions and Investor Preferences...................................264
10.4.2 Risk Aversion and Risk Neutrality................................................267
10.4.3 The Investor s Decision.................................................................268
10.4.4 Multiple Periods.............................................................................272
10.5 Contingent Claim Analysis...................................................................................274
10.5.1 States of Nature and Contingent Claims.......................................274
10.5.2 Contingent Claims and Cash Flows..............................................276
10.5.3 Contingent Claims and State Prices..............................................277
10.5.4 Investor Decision under Uncertainty.............................................279
10.5.5 Special Case I: The Risk-free Rate................................................282
10.5.6 Special Case II: Equivalent Martingale Measures........................282
10.5.7 Special Case III: Risk-neutral Probabilities..................................285
Appendix A: Building Block Data Model...............................................................289
A.l The Instrument Model...........................................................................................289
A.l.l Instrument Core..............................................................................289
A.1.2 Instrument Analytic........................................................................292
A.1.3 Instrument Cash Flow Element......................................................293
A.1.4 Instrument Cash Flow Schedule....................................................298
A.1.5 Instrument Cash Flow Fixing.........................................................299
A.1.6 Instrument Identifier.......................................................................300
A.1.7 Instrument Income Payment...........................................................302
A.l.8 Instrument Index Version...............................................................303
A.1.9 Instrument Index Constituent.........................................................305
A.l.10 Instrument Issuance........................................................................306
A.l.11 Instrument Issuance Date...............................................................309
A.l.12 Instrument Rating...........................................................................310
A.l.13 Instrument Relationship Condition................................................312
A.2 The Portfolio Model..............................................................................................315
A.2.1 Portfolio Version.............................................................................315
A.2.2 Portfolio Constituent......................................................................316
A.2.3 Portfolio Position............................................................................318
A.2.4 Benchmark Component..................................................................319
A.3 The Party Model....................................................................................................320
A.3.1 Party Core.......................................................................................320
A.3.2 Party Account.................................................................................322
A.3.3 Party Analytic.................................................................................325
A.3.4 Party Industry Classiiïcation..........................................................327
A.3.5 Party Rating....................................................................................328
A.4 The Role Model.....................................................................................................330
A.4.1 Role Instrument Issuer...................................................................330
A.5 The Market Model.................................................................................................330
A.5.1 Instrument Price.............................................................................331
Appendix B: Code Lists............................................................................................333
B.l Analytic Scheme..................................................................................................333
B.2 Analytic Scheme Element....................................................................................333
B.3 Asset Classification..............................................................................................333
B.4 Cash Flow Element Type.....................................................................................334
B.5 Cash Flow Fixing Type........................................................................................340
B.6 Cash Flow Schedule Type....................................................................................341
B.7 Constituent Function............................................................................................342
B.8 Currency (ISO 4217)...........................................................................................343
B.9 Date Offset Rule..................................................................................................344
B.10 Date Roll Rule.....................................................................................................345
B.ll Day Count Convention.........................................................................................345
B.12 Debit Credit..........................................................................................................346
B.13 Income Event Type..............................................................................................346
B.14 Index Valuation Formula......................................................................................347
B.15 Index Valuation Variable......................................................................................347
B.16 Index Weighting Variable.....................................................................................347
B.17 Industry Scheme...................................................................................................348
B.18 Industry Scheme Value........................................................................................348
B.19 Instrument Status..................................................................................................349
B.20 Issuance Date Type..............................................................................................350
B.21 Issuance Transaction Type...................................................................................351
B.22 Numbering Scheme..............................................................................................352
B.23 Portfolio Version Scheme....................................................................................353
B.24 Price Income Inclusion........................................................................................353
B.25 Price Type.............................................................................................................354
B.26 Quotation Basis....................................................................................................356
B.27 Party Account Amount Function.........................................................................357
B.28 Party Account Scheme.........................................................................................359
B.29 Party Account Scheme Element..........................................................................359
B.30 Party Account Status............................................................................................361
B.31 Party Type............................................................................................................361
B.32 Party Status..........................................................................................................361
B.33 Rating Scheme.....................................................................................................362
B.34 Repetition Period Type........................................................................................364
B.35 Unit.......................................................................................................................364
B.36 Underlying Type...................................................................................................365
References.................................................................................................................367
Index..........................................................................................................................369
|
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| series2 | The Elsevier and Mondo Visione world capital markets series |
| spelling | Schwerdt, Wolfgang 1951- Verfasser (DE-588)140969233 aut Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios Wolfgang Schwerdt ; Marcelle von Wendland Amsterdam u.a. Elsevier u.a. 2010 XX, 377 S. graph. Darst. 25 cm txt rdacontent n rdamedia nc rdacarrier The Elsevier and Mondo Visione world capital markets series Includes bibliographical references and index Mathematisches Modell Econometrics Finance Mathematical models Wendland, Michelle von Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018995858&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schwerdt, Wolfgang 1951- Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios Mathematisches Modell Econometrics Finance Mathematical models |
| title | Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios |
| title_auth | Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios |
| title_exact_search | Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios |
| title_full | Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios Wolfgang Schwerdt ; Marcelle von Wendland |
| title_fullStr | Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios Wolfgang Schwerdt ; Marcelle von Wendland |
| title_full_unstemmed | Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios Wolfgang Schwerdt ; Marcelle von Wendland |
| title_short | Pricing, risk, and performance measurement in practice |
| title_sort | pricing risk and performance measurement in practice the building block approach to modeling instruments and portfolios |
| title_sub | the building block approach to modeling instruments and portfolios |
| topic | Mathematisches Modell Econometrics Finance Mathematical models |
| topic_facet | Mathematisches Modell Econometrics Finance Mathematical models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018995858&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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