Pricing, risk, and performance measurement in practice the building block approach to modeling instruments and portfolios
Financial models and portfolios are only as good as the software-based representations of them, and this book is the first to bridge the gap between the theory of financial pricing, risk and performance measurement and modeling, and actually implementing all this in a your firm's software syste...
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| Otros Autores: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Boston :
Academic Press
2009.
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| Edición: | 1st edition |
| Colección: | Elsevier and Mondo Visione world capital markets series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627443206719 |
Tabla de Contenidos:
- Front cover; Title page; Copyright page; Table of contents; About the Authors; Preface; How to Use the Companion Web Site; Free Companion Software: R Language; Free Companion Software: Personal ORACLE; Free Companion Software: AMPL; Build Instruments by Drag-and-Drop in Graphical Wizard; Acknowledgements; Chapter 1: Introducing Model Implementation with the Building Block Method; Why Use a Building Block Approach?; An Implementation Framework; Chapter 2: Introducing the Building Block Data Model; Considerations When Modelling Financial Data; The Data Model; Data Quality Management
- Chapter 3: Modelling Financial InstrumentsModelling Financial Instruments; Chapter 4: Introduction to Practical Valuation; The Basic Tools for Valuation; Valuing Financial Assets; Valuing Real Assets; Chapter 5: Implementing Valuation Models; Valuation Model Implementation-Step by Step; Valuation Model Implementation Checklists; More and More Advanced Pricing Models; Chapter 6: Introduction to Practical Risk Modelling; The Purpose of Risk Management; Early Approaches to Risk Management; Modern Approaches to Risk Management; Chapter 7: Implementing Risk Models
- Risk Model Implementation-Step by StepRisk Model Implementation Checklists; Further Risk Models and Implementation Details from Historical to Parametric and Monte Carlo Based Approaches; Chapter 8: Introducing Performance Measurement; The Role of Performance Measurement; Performance Measurement; Performance Attribution; Performance Using Risk Adjusted Return on Capital; Investment Performance Management; Chapter 9: Implementing Performance Models; Performance Measurement Implementation: Step by Step; Performance Measurement Implementation Checklists; Further Performance Measurement Models
- Chapter 10: Understanding Valuation TheoryThe Purpose of Valuation Theory; Some Notations and Concepts; The Mother of All Valuation Formulas; Consumption-based Theory; Contingent Claim Analysis; APPENDIX A: Building Block Data Model; The Instrument Model; The Portfolio Model; The Party Model; The Role Model; The Market Model; APPENDIX B: Code Lists; Analytic Scheme; Analytic Scheme Element; Asset Classification; Cash Flow Element Type; Cash Flow Fixing Type; Cash Flow Schedule Type; Constituent Function; Currency (ISO 4217); Date Offset Rule; Date Roll Rule; Day Count Convention; Debit Credit
- Income Event TypeIndex Valuation Formula; Index Valuation Variable; Index Weighting Variable; Industry Scheme; Industry Scheme Value; Instrument Status; Issuance Date Type; Issuance Transaction Type; Numbering Scheme; Portfolio Version Scheme; Price Income Inclusion; Price Type; Quotation Basis; Party Account Amount Function; Party Account Scheme; Party Account Scheme Element; Party Account Status; Party Type; Party Status; Rating Scheme; Repetition Period Type; Unit; Underlying Type; References; Index
