“The book represents a fresh and innovative departure from ‘traditional’ approaches to modelling of securities data. Subsequently, it also presents much more flexible ways to analyze and process the data. Even if you are not involved with re-architecting an organization’s master data handling, there are numerous ideas, principles, and nuggets that make it a worthwhile read.”

—Dr. Matthias Autrata Director, Deutsche Asset Management Global Technology Operations—Asset Management Platform Services

“The piece of work is a very nice, well-structured step-to-step guide on how to valuate securities. The authors have achieved in making a highly complex topic easy to understand, and offer a guide for valuating securities from the very beginning to the very end.”

—Alexandra Balloff Executive Director, Global Head of Market Data Management, WestLB

“It is refreshing to see an approach to financial data modeling which adequately reflects the semantics of the instruments themselves. This book presents complex mathematical models for securities calculations, illustrated with easy to understand diagrams. This is combined with a mature and comprehensive method for developing systems and data models that should be followed by any financial institution that wishes to develop robust and maintainable systems for risk, valuation, and performance attribution.”

—Mike Bennett Hypercube Limited, EDM Council Semantics Repository Architect

“By taking from the outset a technical and applied perspective, this book greatly complements the theoretical literature. Practitioners will obviously like it, but also all others interested in valuation and risk control should find the book stimulating as providing insights on the real issues one faces when implementing models.”

—Ulrich Bindseil Head of Risk Management Division, European Central Bank

“I found the approach of the authors to be really interesting. The book combined with the available web support will provide anyone interested in the subject with a compendium of useful information and ideas that they will find invaluable.”

—Dennis Cox CEO, Risk Reward Limited; Chairman, Risk Forum Securities and Investment Institute

“Pricing, Risk, and Performance Measurement in Practice is very ambitious in scope yet succeeds by moving step-by-step from the fundamentals of modelling to a comprehensive overview of valuation, risk, and performance management issues. By anchoring the discussion firmly in methodology and by mirroring theory chapters with sections on practical aspects of implementation, the authors offer a valuable ‘real life’ toolbox to anyone working in the financial services industry.”

—Martijn Groot Director, Market Strategy, Asset Control, Luxembourg

“I endorse the publication of Wolfgang Schwerdt and Marcelle von Wendland’s Pricing, Risk, and Performance Measurement in Practice. This book gives interesting and valuable insights for the practitioner to model instruments and portfolios. Following the building block approach, the authors demonstrate in a convincing manner that complex situations can be decomposed in an easy and flexible way. Concrete figures and a lot of examples help to explain the basic ideas and how to handle problems in practical situations.”

—Olaf Huebler Professor of Econometrics in the Institute of Empirical Economics at the Leibniz University Hannover and Research Fellow of IZA (Bonn) and IAB (Nuremberg)

“The authors show that risk management needs to be based on the economic properties of financial instruments and that a vital link exists between data, data modeling, and risk management. To my knowledge this is the first time this link is explicitly demonstrated in the literature on valuation and risk management. Overall an interesting and demanding book for everybody who intends to build or improve risk management systems.”

—Martin Janssen Banking Institute, University of Zurich; CEO ECOFIN Research and Consulting Ltd., Zurich, Switzerland

“The authors have achieved a perfect balance between theory and the practical implementation of financial information management and modeling tools. For anyone with a need to create or improve performance and risk management systems, this book offers a road map to get you there quickly and correctly.”

—Richard M. King Managing Director, LeftBrain, Inc.

“The authors of Pricing, Risk and Performance Measurement are skillfully bridging the gap between risk management theory and its practical real life application. Whether you are developing and applying ad-hoc risk models or finding yourself faced with building an enterprise-wide performance analytics platform, their book will provide you with a robust and proven toolkit to do so.

Readers are equipped with a thoroughly researched best practice guide and will profit from step-by-step guidance through all stages of planning, composing, mapping, creating, calibrating, and refining a solid risk portfolio model. Whilst the vast number of tables, graphical illustrations, process diagrams, and sample calculations provide a great stand-alone desktop reference, the combination with the book’s software tools and templates on its companion website make this an invaluable aid.

The book is unique as it introduces and advocates a proven methodology which was developed together with and has been successfully applied by many banks to model over five million financial instruments—what better ‘seal of approval’ can you ask for?”

—Markus Krebsz Capital Markets Consultant, SME Panel member for Credit Risk & Structured Products, 4Most

“This book is the first to point out the fundamental link between data, data modeling, and risk management. It contains a huge number of very valuable details and concepts. A must read for anyone setting out to build risk management systems.”

—Didier Maman Managing Director, Vidatis s.a.r.l.

“In times of financial turmoil survival depends on knowing where your risks are and having the right tools to lead you to where you want to be going. This great book is just about that—a must read.”

—Mark Michel Wincor Nixdorf Banking Solutions

“Are you always thinking that everything except plain vanilla is too complicated? Try this book and you realize that even the most complex systems are built piece by piece from simple building blocks. This book is a magnificent tool for financial instrument expert and IT-expert to understand each other. Pricing, Risk, and Performance Measurement creates value-added to design new systems from practical and user-friendlier perspective.”

—Marko Myller Economist, Oversight of Market Infrastructure, Financial Markets and Statistics, Bank of Finland

“The book reveals the authors’ profound exposure to securities database projects and distinctively considers risk concepts in an integrated manner. The presented building block approach supports flexibility in data models—an important prerequisite in times of change. A must read for all those who would want to cross the border from pure theory to practice, and like to know more about the more practical aspects of statistics compilation, thus including the latest state-of-knowledge in international securities database projects.”

—Robert Obrzut Economist-Statistician, Banque centrale du Luxembourg

“The book by Wolfgang Schwerdt and Marcelle von Wendland describes very clearly the Building Block approach to financial instrument portfolio modelling. This innovative method provides for flexibility in modelling of large portfolios containing instruments of different characteristics, and is open, unlike standard database approach, to adoption of new features or parameters that may be necessary in the future. The authors are among the most experienced persons in the field of theory and practical use of Building Block approach, their book shows a new direction and is full of practical solutions for all persons dealing with portfolio and risk management. A valuable position.”

—Marcin Sienicki Portfolio Investment Statistics Division, Statistics Department, National Bank of Poland

“Recent events have shown how financial information is key. This book is a guide to manage it. Useful both for new traders entering the business and for big organisations, who want to check if their system is up-to-date.”

—Fabio Salvatore Piamonte Reference data on entities and financial instrument division, Banca d’Italia

“This is the book the data management community has been waiting for! The Building Block approach introduced by Wolfgang and Marcelle de-mystifies the process of market risk modelling; they rightly consider the operational and business risk associated with the more complex financial instruments and the need to source a broader spectrum of high quality reference data to meet the needs of the entire organisation. I would recommend this highly.”

—Lisa Sully Global Head of Data Management, Aberdeen Asset Management PLC

“This book is the most comprehensive I have come about in terms of linking business and business requirements to IT implementation. And on top you get ready-to-use components and advice—should be a must read for anyone embarking on risk management.”

—Rainer Zahradnik Head of Software Development at RTC, Switzerland