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Author : Alexandra Wiesinger
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (732 download)
Download or read book Risk-Adjusted Performance Measurement written by Alexandra Wiesinger and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philipp Schmid
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (731 download)
Download or read book Risk-Adjusted Performance Measures - State of the Art written by Philipp Schmid and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Diese Arbeit bietet eine umfassende Übersicht zu den vielfältigen Anwendungsbereichen von risikoadjustierten Performance-Massen (RAPMs) im Finanzbereich. RAPMs werden eingesetzt für effiziente Vermögensallokation, Performance Bewertungen sowie für Entscheidungen über Kapitalverteilungen innerhalb von Kreditinstituten. Kreditinstitute sehen sich im Wesentlichen mit zwei Allokationsproblemen konfrontiert: Erstens müssen Einlagen so investiert werden, dass sie den erwarteten Nutzen des Investors maximieren. Zweitens muss das Risikokapital des Unternehmens auf eine optimale Weise den verschiedenen Geschäftsbereichen zugeteilt werden. In der bestehenden Finanzliteratur werden diese beiden Bereiche grundsätzlich getrennt voneinander behandelt, obgleich beide auf einem ähnlichen mathematischen Konzept beruhen. Die vorliegende Arbeit schliesst diese Lücke zwischen diesen zwei beiden Konzepten und testet die am weitverbreitesten RAPMs mit empirischen Daten. Bei den vorgestellten RAPMs handelt es sich um die Mean-Variance Performance Masse, CAPM Performance Masse, Downside Risk Performance Masse und Preference-Based Performance Masse. Die Untersuchung zeigt, dass im Investitionsentscheidungsprozess die Sharpe Ratio (SR) das führende RAPM bleibt, ungeachtet des Nachteils des fehlenden Einbezugs von höheren Momenten der Renditeverteilung. Risiko-adjustierter Kapitalertrag (risk-adjusted return on capital, RAROC) ist das bevorzugte RAPM, mithilfe dessen Kreditinstitute ihr Risikokapital den einzelnen risikobehafteten Unternehmensaktivitäten zuweisen.
Author : Carl R. Bacon
Publisher : John Wiley & Sons
ISBN 13 : 1119838878
Total Pages : 320 pages
Book Rating : 4.1/5 (198 download)
Download or read book Practical Risk-Adjusted Performance Measurement written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2021-10-22 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.
Author : Jon A. Christopherson
Publisher : McGraw Hill Professional
ISBN 13 : 0071733183
Total Pages : 14 pages
Book Rating : 4.0/5 (717 download)
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Author : Stephen Figlewski
Publisher : Springer Science & Business Media
ISBN 13 : 146150791X
Total Pages : 228 pages
Book Rating : 4.4/5 (615 download)
Download or read book Risk Management: The State of the Art written by Stephen Figlewski and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Very often, we associate the dawn of modern financial theory with Harry Markowitz who in the 1950s introduced the formal mathematics of probability theory to the problem of managing risk in an asset portfolio. The 1970s saw the advent of formal models for pricing options and other derivative contracts, whose primary purpose was also financial risk management and hedging. But events in the 1990s made it clear that effective risk management is a critical element for success, and indeed, for long term survival, not only for financial institutions, but also for industrial firms, and even for nonprofit organizations and governmental bodies. These recent events vividly show that the world is filled with all manner of risks, and so risk management must extend far beyond the use of standard derivative instruments in routine hedging applications. The articles in this volume cover two broad themes. One theme emphasizes methods for identifying, modeling, and hedging specific types of financial and business risks. Articles in this category consider the technology of risk measurement, such as Value at Risk and extreme value theory; new classes of risk, such as liquidity risk; new financial instruments and markets for risk management, such as derivative contracts based on weather and on catastrophic insurance risks; and finally, credit risk, which has become one of the most important areas of practical interest for risk management. The second theme stresses risk management from the perspective of the firm and the financial system as a whole. Articles in this category analyze risk management in the international arena, including payment and settlement risks and sovereign risk pricing, risk management from the regulator's viewpoint, and risk management for financial institutions. The articles in this volume examine the "State of the Art" in risk management from the standpoint of academic researchers, market analysts and practitioners, and government observers.
Author : Hilary Till
Publisher :
ISBN 13 :
Total Pages : 6 pages
Book Rating : 4.:/5 (13 download)
Download or read book Risk-Adjusted Returns in Alternative Investments written by Hilary Till and published by . This book was released on 2015 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. In particular, a number of authors have pointed out the shortcomings of using the Sharpe ratio for performance evaluation and the mean-variance framework for portfolio construction when the underlying investments have highly non-symmetric distributions. A number of hedge-fund strategies have asymmetric outcomes. This can be because they either explicitly use derivatives or because their return profile involves taking on some implicit short options risk.This article will briefly touch on the problems with using traditional performance evaluation methods and then will summarize the state-of-the-art in alternative performance evaluation techniques.
Author : Pascal François
Publisher : John Wiley & Sons
ISBN 13 : 1119930197
Total Pages : 1095 pages
Book Rating : 4.1/5 (199 download)
Download or read book The Complete Guide to Portfolio Performance written by Pascal François and published by John Wiley & Sons. This book was released on 2024-04-23 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.
Author : David P Taggart
Publisher : Oxford University Press
ISBN 13 : 0191076562
Total Pages : pages
Book Rating : 4.1/5 (91 download)
Download or read book State of the Art Surgical Coronary Revascularization written by David P Taggart and published by Oxford University Press. This book was released on 2021-02-04 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: State of the Art Surgical Coronary Revascularization is the most authoritative textbook ever dedicated to the art and science of surgical coronary revascularization, with 71 chapters, organized in 9 sections, and written by over 100 recognized world experts. It covers every aspect of the surgical management of coronary artery pathology and ischaemic heart disease. It provides extensive sections detailing pathophysiology, evaluation and medical and percutaneous management of ischaemic heart disease as well general outcomes and quality assessment for coronary artery bypass grafting (CABG). Pre-, intra- and postoperative management of CABG patients is emphasized in detail as are the core surgical principles in the conduct of CABG, with special focus on the selection of conduits and how to optimize the performance of both on- and off-pump surgery to reduce morbidity and mortality. There are detailed sections on how to improve outcomes with both arterial and venous bypass grafts. This comprehensive textbook also covers in detail less invasive approaches for CABG, CABG in special clinical situations and when CABG is combined with concomitant surgical procedures. In addition to underpinning all chapters with a strong and updated evidence basis, crucial practical surgical techniques are emphasised throughout, making this textbook the indispensable companion of all adult cardiac surgeons and allied health professionals interested in surgical coronary revascularization.
Author : Peter C. Smith
Publisher : Cambridge University Press
ISBN 13 : 1139483935
Total Pages : 751 pages
Book Rating : 4.1/5 (394 download)
Download or read book Performance Measurement for Health System Improvement written by Peter C. Smith and published by Cambridge University Press. This book was released on 2010-01-07 with total page 751 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Auke Plantinga
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (248 download)
Download or read book Risk-adjusted Performance Measures and Implied Risk-attitudes written by Auke Plantinga and published by . This book was released on 2001 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sebastiaan de Groot
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)
Download or read book Risk-Adjusted Performance Measures and Implied Risk-Attitudes written by Sebastiaan de Groot and published by . This book was released on 2009 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we study the relation between performance measures and preferences functions. In particular, we examine to what extent performance measures can be used as alternatives for preference functions. We study the Sharpe ratio, Sharpe's alpha, the expected return measure, the Sortino ratio, the Fouse index, and the upside potential ratio. We find that the first three measures correspond to the preferences of investors with a low degree of risk aversion, whereas the latter three measures correspond to the preferences of investors with intermediate and high degrees of risk aversion.
Author : Francesco Saita
Publisher : Elsevier
ISBN 13 : 0080471064
Total Pages : 276 pages
Book Rating : 4.0/5 (84 download)
Download or read book Value at Risk and Bank Capital Management written by Francesco Saita and published by Elsevier. This book was released on 2010-07-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe
Author : Elisabeth Bourqui
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (853 download)
Download or read book Mathematical Treatment of Risk Adjusted Performance Measures written by Elisabeth Bourqui and published by . This book was released on 2004 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 236 pages
Book Rating : 4.3/5 (243 download)
Download or read book Health Care Financing Review written by and published by . This book was released on 2002 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tushar S. Chande
Publisher : John Wiley & Sons
ISBN 13 : 9780471415671
Total Pages : 412 pages
Book Rating : 4.4/5 (156 download)
Download or read book Beyond Technical Analysis written by Tushar S. Chande and published by John Wiley & Sons. This book was released on 2001-05-24 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Der Klassiker zur technischen Analyse erscheint jetzt in der 2. überarbeiteten, aktualisierten und erweiterten Auflage. Diese Neuauflage bietet eine interessante Mischung aus topaktuellen Techniken und Analyseverfahren, Strategien, zeitlos gültigen Grundsätzen und praktischen Tipps. Sie liefert umfassende Information für die Entwicklung und Implementierung eines eigenen Handelssystems und stellt so eine Verbindung her zwischen Analyse und Ausführung. Neu aufgenommen wurde eine Einführung in die technische Analyse sowie Material zu Einstiegs- und Ausstiegsstrategien, zur Aktienanalyse und zu Chandes neuer bahnbrechender Arbeit über die 'Comfort Zone' für richtiges Risiko- und Geldmanagement. "Beyond Technical Analysis" ist ein praktischer Leitfaden für versierte Händler und Neulinge gleichermaßen. Mit umfangreichem Beispielmaterial zu allen neu eingeführten Techniken, einschließlich Aktienfonds und offenen Investmentfonds!
Author : Thomas G. McGuire
Publisher : Academic Press
ISBN 13 : 012811326X
Total Pages : 659 pages
Book Rating : 4.1/5 (281 download)
Download or read book Risk Adjustment, Risk Sharing and Premium Regulation in Health Insurance Markets written by Thomas G. McGuire and published by Academic Press. This book was released on 2018-08-06 with total page 659 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk Adjustment, Risk Sharing and Premium Regulation in Health Insurance Markets: Theory and Practice describes the goals, design and evaluation of health plan payment systems. Part I contains 5 chapters discussing the role of health plan payment in regulated health insurance markets, key aspects of payment design (i.e. risk adjustment, risk sharing and premium regulation), and evaluation methods using administrative data on medical spending. Part II contains 14 chapters describing the health plan payment system in 14 countries and sectors around the world, including Australia, Belgium, Chile, China, Columbia, Germany, Ireland, Israel, the Netherlands, Russia, Switzerland and the United States. Authors discuss the evolution of these payment schemes, along with ongoing reforms and key lessons on the design of health plan payment. Provides a conceptual toolkit that describes the goals, design and evaluation of health plan payment systems in the context of policy paradigms, such as efficiency, affordability, fairness and avoidance of risk selection Brings together international experience from many different countries that apply regulated competition in different ways Delivers a practical toolkit for the evaluation of health plan payment modalities from the standpoint of efficiency and fairness
Author : H. Kent Baker
Publisher : Oxford University Press
ISBN 13 : 0190214082
Total Pages : 709 pages
Book Rating : 4.1/5 (92 download)
Download or read book Investment Risk Management written by H. Kent Baker and published by Oxford University Press. This book was released on 2014-12-03 with total page 709 pages. Available in PDF, EPUB and Kindle. Book excerpt: All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions, and many others encounter and must deal with risk. Risk management is a process of determining what risks exist in an investment and then handling those risks in the best-suited way. This is important because it can reduce or augment risk depending on the goals of investors and portfolio managers. The main purpose of Investment Risk Management is to provide an overview of developments in risk management and a synthesis of research involving these developments. The book examines ways to alter exposures through measuring and managing those exposures and provides an understanding of the latest strategies and trends within risk management. The scope of the coverage is broad and encompasses the most important aspects of investment risk management. Its 30 chapters are organized into six sections: (1) foundations of risk management, (2) types of risk, (3) quantitative assessment of risk, (4) risk and risk classes, (5) hedging risk and (6) going forward. The book should be of particular interest to sophisticated practitioners, investors, academics, and graduate finance students. Investment Risk Management provides a fresh look at this intriguing but complex subject.
