Pricing, Risk, and Performance Measurement in Practice: The Building Block Approach to Modeling Instruments and Portfolios (The Elsevier and Mondo Visione World Capital Markets) Review

Average Reviews:

(More customer reviews)This book has an excellent abstract model of financial instruments, their cash flows and the cash flow schedules. This abstraction and the normalized model presented make it possible to understand nearly all instruments types. The book is well written and has good examples that step by step take you through the process of valuing and determining risk for an instrument.
So why 2 stars only. 1 star off for the usual appalling lack of editing the book. My 2nd book published by Elsevier and they are at least consistent in this. It clearly has not been edited. Legends do not match the terms used in the formula in so many of the formula. The supporting website (no CD) is stated as 2 different URL in different parts of the book. Which leads me to the loss of the further 2 stars.
The exercises at the end of each chapter refer to materials downloaded from the supporting website. I have contacted Marcelle (author) twice to discover the whereabouts of the website, no reply. So I can only assume it does not and never will exist. So if you buy this book and expect to use to to learn about valuations and risk using the exercises then you will be sorely disappointed. What a shame, it could have been the best book I have read on modelling instruments and learning about risk measurement and valuations. In horse racing terms I think "fell at the last post, while in the lead".
Of course they may remedy the missing website and then I would heartily recommend this book. Check for it's existence first, either at [...] or [...], dependent on where you look in the book.

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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 instrumentsBenefit: The reader can rely on accurate and valid information about describing financial instrumentsFeature: The authors have developed an approach for pricing and analyzing any financial instrument using a limited set of atomic instrumentsBenefit: 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 portfoliosBenefit: Readers can use this framework today in their work and identify and measure market and credit risk using a reliable method.