Unified Financial Analysis Risk & Finance Lab
-
Upload
tiffany-leda -
Category
Documents
-
view
16 -
download
0
description
Transcript of Unified Financial Analysis Risk & Finance Lab
![Page 1: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/1.jpg)
© Brammertz Consulting, 2009 1Date: 20.04.23
Unified Financial AnalysisRisk & Finance Lab
Chapter 14: Dynamic simulation of banks
Willi Brammertz / Ioannis Akkizidis
![Page 2: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/2.jpg)
© Brammertz Consulting, 2009 2Date: 20.04.23
The role of the chart of account
>Fulfills the completeness condition
>Chart of account is a first order product catalogue
>Contracts inside an account more or less homogenous
>Study chapter 14.1 carefully
![Page 3: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/3.jpg)
© Brammertz Consulting, 2009 3Date: 20.04.23
Example of typical chart of account
![Page 4: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/4.jpg)
© Brammertz Consulting, 2009 4Date: 20.04.23
Forecasting new productionLoans, mortgages and bond issues
> Maturity contract types (PAM, ANN, RGM…)
> Sluggish and predictable to a good extent> Product mix
> Characteristics
> Spreads
> Ratings
![Page 5: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/5.jpg)
© Brammertz Consulting, 2009 5Date: 20.04.23
Forecasting new productionCurrent accounts, savings and deposits
> Mostly non-maturity products
> Needs dynamic replication portfolio technique
> Volume: Sluggish and reasonable predictable under normal conditions> New and old volumes not distinguishable
> Strongly rate sensitive
> Not sluggish in crisis!
> Rate: Partially under own control> Linked to special rates (product rates)
> Difficult to quantify effect on sensitivity
![Page 6: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/6.jpg)
© Brammertz Consulting, 2009 6Date: 20.04.23
Non-maturity productsSimple in appearance, difficult in praxis
>Example
![Page 7: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/7.jpg)
© Brammertz Consulting, 2009 7Date: 20.04.23
Forecasting new productionTrading and OBS
> Highly volatile positions
> Difficult to forecast
> Different approaches> Income forecasting
> Contract forecasting
> Hedging part (ALM) can be modeled as a residual
![Page 8: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/8.jpg)
© Brammertz Consulting, 2009 8Date: 20.04.23
Forecasting new productionLiquidity, interbank
> Classical cash-flow balancing accounts (also in reality)
> But imbalance shouldn‘t be too large
> Large imbalances should be corrected „manually“
> Automatic correction possible
![Page 9: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/9.jpg)
© Brammertz Consulting, 2009 9Date: 20.04.23
Forecasting equity
> Equity is a pure logical conseqence
> Equity check!
![Page 10: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/10.jpg)
© Brammertz Consulting, 2009 10Date: 20.04.23
Simulation technique applied
> Parameters are turned into financial contracts
> At each simulation end date, a full set of financial contracts exists
> Dynamic balance sheets can be calculated by sequential application of static analysis at each end date
> P&L statements can be derived analogously
![Page 11: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/11.jpg)
© Brammertz Consulting, 2009 11Date: 20.04.23
Analysis (Type III)Liquidity risk
![Page 12: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/12.jpg)
© Brammertz Consulting, 2009 12Date: 20.04.23
Analysis (Type V)Balance sheet and P&L forecast
![Page 13: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/13.jpg)
© Brammertz Consulting, 2009 13Date: 20.04.23
Forecasting NPV and sensitivity
![Page 14: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/14.jpg)
© Brammertz Consulting, 2009 14Date: 20.04.23
Forecasting NPV under MC
![Page 15: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/15.jpg)
© Brammertz Consulting, 2009 15Date: 20.04.23
Integrating market and credit risk
![Page 16: Unified Financial Analysis Risk & Finance Lab](https://reader036.fdocuments.us/reader036/viewer/2022062720/56813550550346895d9caeab/html5/thumbnails/16.jpg)
© Brammertz Consulting, 2009 16Date: 20.04.23
Dynamic funds transfer pricing