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Pricing, Risk, and Performance Measurement in Practice

Pricing, Risk, and Performance Measurement in Practice
  • Author : Wolfgang Schwerdt,Marcelle von Wendland
  • Publisher :Unknown
  • Release Date :2009-10-22
  • Total pages :398
  • ISBN : 0080923046
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Summary : 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.

ACCA Paper P5 - Advanced Performance Management Practice and revision kit

ACCA Paper P5 - Advanced Performance Management Practice and revision kit
  • Author : BPP Learning Media
  • Publisher :Unknown
  • Release Date :2013-01-01
  • Total pages :601
  • ISBN : 9781445369587
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Summary : 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.

ACCA Paper P4 - Advanced Financial Management Practice and Revision Kit

ACCA Paper P4 - Advanced Financial Management Practice and Revision Kit
  • Author : BPP Learning Media
  • Publisher :Unknown
  • Release Date :2010-01-01
  • Total pages :440
  • ISBN : 9780751782561
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Summary : The Association of Chartered Certified Accountants (ACCA) is the global body for professional accountants. With over 100 years of providing world-class accounting and finance qualifications, the ACCA has significantly raised its international profile in recent years and now supports a BSc (Hons) in Applied Accounting and an MBA.BPP Learning Media is an ACCA Official Publisher. The new ACCA syllabus for paper P4 is about the practical application of financial theory to problems that managers face, such as investment appraisal, funding policies, risk management, growth, organic or through mergers and acquisitions and dividend policy. The paper also covers crucial issues such as corporate governance and ethical and environmental aspects of financial policy.The practice and revision kit contains a large number of examination style questions by key topic and integrated where appropriate together with three mock examinations, one of which is the ACCA's pilot paper.BPP Learning Media is the publisher of choice for many ACCA students and tuition providers worldwide. Join them and plug into a world of expertise in ACCA exams.

Performance Measurement in Finance

Performance Measurement in Finance
  • Author : John Knight
  • Publisher :Unknown
  • Release Date :2002-07-10
  • Total pages :365
  • ISBN : 9780080497631
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Summary : 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

Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management

Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management
  • Author : Jean Dermine
  • Publisher :Unknown
  • Release Date :2009-09
  • Total pages :442
  • ISBN : 9780071624992
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Summary : Bank Valuation & Value-Based Management provides bankers, bank regulators, auditors, and risk managers with foundational concepts and practical tools for effectively managing a bank. An expert in asset and liability management, European financial markets, and banking theory, Jean Dermine provides rigorous foundations to discuss asset and liability management at a global level, with an integrated focus on an institution’s banking book. He covers bank valuation, fund transfer pricing, deposit and loan pricing, risk management, and performance measurement, and addresses two high-profile issues for banks worldwide: portfolio credit risk and liquidity risk. This thorough and innovative guide presents insightful coverage on the hazards of measuring portfolio credit risk, the impact of liquidity risk on fund transfer pricing, and the practice of performance measurement in the banking industry. Numerous real-world examples from the U.S. subprime crisis help illustrate the nature and dynamics of these issues. Inside, you will find a framework for discussing such managerial issues as: Bank valuation Fund transfer pricing Deposit pricing Capital management Loan pricing and provisioning Securitization Measurement of interest rate risk Performance measurement At the same time that it helps readers develop an intuitive sense for asset-liability management, this practical book follows through with rigorous mathematical formulas and examples from the international banking community. In addition,exercises are incorporated throughout the text to facilitate discussions of how theoretical concepts can be applied to real-world problems. This authoritative guide to bank management also features an exclusive companion Web site, www.mhprofessional.com/bankvaluation, which includes additional chapters and exercise solutions that serve as key supplements to the core text. Creating value in banking depends on a rocksolid understanding of what drives value and the right valuation model to help make the tough decisions that will enhance shareholder value. Bank Valuation & Value-Based Management is your one-stop reference for each of these critical issues.

QFinance

QFinance
  • Author : Various Authors
  • Publisher :Unknown
  • Release Date :2009-10-13
  • Total pages :2200
  • ISBN : 1849300003
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Summary : Compiled by more than 300 of the world's leading professionals, visionaries, writers and educators, this is THE first-stop reference resource and knowledge base for finance. QFINANCE covers an extensive range of finance topics with unique insight, authoritative information, practical guidance and thought-provoking widsom. Unmatched for in-depth content, QFINANCE contains more than 2 million words of text, data analysis, critical summaries and bonus online content. Created by Bloomsbury Publishing in association with the Qatar Financial Centre (QFC) Authority, QFINANCE is the expert reference resource for finance professionals, academics, students, journalists and writers. QFINANCE: The Ultimate Resource Special Features: Best Practice and Viewpoint Essays – Finance leaders, experts and educators address how to resolve the most crucial issues and challenges facing business today. Finance Checklists – Step-by-step guides offer problem-solving solutions including hedging interest-rate risk, governance practices, project appraisal, estimating enterprise value and managing credit ratings. Calculations and Ratios – Essential mathematical tools include how to calculate return on investment, return on shareholders’ equity, working capital productivity, EVA, risk-adjusted rate of return, CAPM, etc. Finance Thinkers and Leaders – Illuminating biographies of 50 of the leading figures in modern finance including Joseph De La Vega, Louis Bachelier, Franco Modigliani, Paul Samuelson, and Myron Scholes Finance Library digests –Summaries of more than 130 key works ranging from “Against the Gods” to “Portfolio Theory & Capital Markets” and “The Great Crash”. Country and Sector Profiles – In-depth analysis of 102 countries and 26 sectors providing essential primary research resource for direct or indirect investment. Finance Information Sources – A select list of the best resources for further information on finance and accounting worldwide, both in print and online, including books, journal articles, magazines, internet, and organizations Finance Dictionary – A comprehensive jargon-free, easy-to-use dictionary of more than 9,000 finance and banking terms used globally. Quotations – More than 2,000 business relevant quotations. Free access to QFinance Online Resources (www.qfinance.com): Get daily content updates, podcasts, online events and use our fully searchable database.

Business Performance Measurement

Business Performance Measurement
  • Author : Andy Neely
  • Publisher :Unknown
  • Release Date :2002-03-07
  • Total pages :366
  • ISBN : 052180342X
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Summary : A multidisciplinary book on performance measurement that will appeal to students, researchers and managers.

Investment Performance Measurement

Investment Performance Measurement
  • Author : Philip Lawton, CIPM,Todd Jankowski, CFA
  • Publisher :Unknown
  • Release Date :2009-05-18
  • Total pages :984
  • ISBN : 0470473711
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Summary : 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.

Risk

Risk
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2000-08
  • Total pages :229
  • ISBN : STANFORD:36105062163261
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Summary :

The Journal of Lending & Credit Risk Management

The Journal of Lending & Credit Risk Management
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :1998
  • Total pages :229
  • ISBN : UCLA:L0080812118
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Summary :

Journal of Actuarial Practice

Journal of Actuarial Practice
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :1999
  • Total pages :229
  • ISBN : UOM:39015053988757
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Summary :

Practical Portfolio Performance Measurement and Attribution

Practical Portfolio Performance Measurement and Attribution
  • Author : Carl R. Bacon
  • Publisher :Unknown
  • Release Date :2011-02-23
  • Total pages :402
  • ISBN : 1119995477
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Summary : 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.

Performance Measurement for Health System Improvement

Performance Measurement for Health System Improvement
  • Author : Peter C. Smith,Elias Mossialos,Irene Papanicolas,Sheila Leatherman
  • Publisher :Unknown
  • Release Date :2010-01-07
  • Total pages :748
  • ISBN : 9781139483933
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Summary : In a world where there is increasing demand for the performance of health providers to be measured, there is a need for a more strategic vision of the role that performance measurement can play in securing health system improvement. This volume meets this need by presenting the opportunities and challenges associated with performance measurement in a framework that is clear and easy to understand. It examines the various levels at which health system performance is undertaken, the technical instruments and tools available, and the implications using these may have for those charged with the governance of the health system. Technical material is presented in an accessible way and is illustrated with examples from all over the world. Performance Measurement for Health System Improvement is an authoritative and practical guide for policy makers, regulators, patient groups and researchers.

Portfolio and Investment Selection

Portfolio and Investment Selection
  • Author : Haim Levy,Marshall Sarnat
  • Publisher :Unknown
  • Release Date :1984
  • Total pages :747
  • ISBN : STANFORD:36105001947949
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Summary :

Managing Downside Risk in Financial Markets

Managing Downside Risk in Financial Markets
  • Author : Frank A. Sortino,Stephen Satchell,Frank Sortino
  • Publisher :Unknown
  • Release Date :2001-10-16
  • Total pages :267
  • ISBN : 0750648635
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Summary : Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal. 'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor's goal, to be risky. Risk is one of the biggest issues facing the financial markets today. 'Downside Risk in Financial Markets' outlines the major issues for Investment Managers and focuses on "downside-risk" as a key activity in managing risk in investment/portfolio management. Managing risk is now THE paramount topic within the financial sector and recurring losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and control. Free Software Enclosed To help you implement the knowledge you will gain from reading this book, a CD is enclosed that contains free software programs that were previously only available to institutional investors under special licensing agreement to The pension Research Institute. This is our contribution to the advancement of professionalism in portfolio management. The Forsey-Sortino model is an executable program that: 1. Runs on any PC without the need of any additional software. 2. Uses the bootstrap procedure developed by Dr. Bradley Effron at Stanford University to uncover what could have happened, instead of relying only on what did happen in the past. This is the best procedure we know of for describing the nature of uncertainty in financial markets. 3. Fits a three parameter lognormal distribution to the bootstrapped data to allow downside risk to be calculated from a continuous distribution. This improves the efficacy of the downside risk estimates. 4. Calculates upside potential and downside risk from monthly returns on any portfolio manager. 5. Calculates upside potential and downside risk from any user defined distribution. Forsey-Sortino Source Code: 1. The source code, written in Visual Basic 5.0, is provided for institutional investors who want to add these calculations to their existing financial services. 2. No royalties are required for this source code, providing institutions inform clients of the source of these calculations. A growing number of services are now calculating downside risk in a manner that we are not comfortable with. Therefore, we want investors to know when downside risk and upside potential are calculated in accordance with the methodology described in this book. Riddles Spreadsheet: 1. Neil Riddles, former Senior Vice President and Director of Performance Analysis at Templeton Global Advisors, now COO at Hansberger Global Advisors Inc., offers a free spreadsheet in excel format. 2. The spreadsheet calculates downside risk and upside potential relative to the returns on an index Brings together a range of relevant material, not currently available in a single volume source. Provides practical information on how financial organisations can use downside risk techniques and technological developments to effectively manage risk in their portfolio management. Provides a rigorous theoretical underpinning for the use of downside risk techniques. This is important for the long-run acceptance of the methodology, since such arguments justify consultant's recommendations to pension funds and other plan sponsors.

Proceedings of a Conference on Bank Structure and Competition

Proceedings of a Conference on Bank Structure and Competition
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :1996
  • Total pages :229
  • ISBN : NWU:35556026355768
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Summary :

Government Finance Review

Government Finance Review
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :1993
  • Total pages :229
  • ISBN : UOM:35128001678034
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Summary :

Agricultural Law Update

Agricultural Law Update
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :1999
  • Total pages :229
  • ISBN : MINN:31951P007643664
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Summary :

Prison Industry Authority

Prison Industry Authority
  • Author : California. Bureau of State Audits
  • Publisher :Unknown
  • Release Date :2004
  • Total pages :67
  • ISBN : UCSD:31822030344451
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Summary :

Futures & Otc World

Futures & Otc World
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2005
  • Total pages :229
  • ISBN : IND:30000117506273
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Summary :

Performance Attribution: History and Progress

Performance Attribution: History and Progress
  • Author : Carl R. Bacon
  • Publisher :Unknown
  • Release Date :2019-12-23
  • Total pages :64
  • ISBN : 9781944960902
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Summary : The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.