List of Figures.
List of Tables.
Acknowledgments.
Preface.
PART I: INTRODUCTION.
1. The Evolution of Financial Analysis.
1.1 Bookkeeping.
1.2 Modern finance.
1.3 Departments, silos and analysis.
1.4 The IT system landscape.
1.5 New approach.
1.6 Hazards of a single solution.
2. Finding the Elements.
2.1 The notion of elements.
2.2 Elements of financial analysis.
2.3 Input elements.
2.4 Financial events and expected cash flows.
2.5 Risk factors and risk categories.
2.6 The time dimension.
2.7 Classification of analysis.
2.8 Nonfinancial cash flows.
2.9 The methodology as an image.
PART II: INPUT ELEMENTS.
3. Financial Contracts.
3.1 Modeling of financial contracts.
3.2 Standard contract types.
3.3 Rules and mechanisms of standard contracts.
3.4 Examples.
3.5 Nonstandard contract types.
Appendix: Practical considerations.
3.A.1 Mapping process.
3.A.2 Data quality.
4. Market Risk Factors.
4.1 Expectations.
4.2 Static modelling.
4.3 Stochastic market models: the arbitrage-free world.
4.4 Stochastic market models: the real world.
4.5 Alternative valuation techniques.
Further reading.
5. Counterparty.
5.1 Exposure, rating and probabilities of default.
5.2 Data determining gross exposure.
5.3 Credit enhancements.
5.4 Credit line and limits.
5.5 Credit ratings.
Further reading 134.
6. Behavior.
6.1 Risk sources and behavior.
6.2 Market-related behavior.
6.3 Insurance-related behavior.
6.4 Credit risk-related behavior.
6.5 Sequence of behavioral effects.
Further reading.
7. Costs.
7.1 Introduction to cost accounting.
7.2 Allocating costs to financial contracts.
7.3 Integration of costs into the general framework.
7.4 Summary and conclusions.
Further reading.
PART III: ANALYSIS - LIQUIDATION VIEW.
8. Financial Events and Liquidity.
8.1 Financial event processing.
8.2 Examples.
8.3 Behavioral events.
8.4 Liquidity reports.
Further reading.
9. Value, Income and FTP.
9.1 Valuation principles.
9.2 The big four.
9.3 Other valuation principles.
9.4 Special cases.
9.5 IFRS 32, 39.
9.6 Funds transfer pricing.
Further reading.
10. Sensitivity.
10.1 Challenges of sensitivity calculation.
10.2 Interest rate sensitivities from events.
10.3 Other market sensitivities.
10.4 Behavioral sensitivities.
10.5 Sensitivity reports.
11. Risk.
11.1 Risk and VaR.
11.2 Analytical VaR methods.
11.3 Numerical VaR methods.
11.4 Expected shortfall.
11.5 Stress and shock scenarios.
11.6 Regulatory risk measures.
11.7 Backtesting.
Appendix: Historization.
11.A.1 Granularity.
11.A.2 Data reduction.
11.A.3 Intraday and parallel histories.
Further reading.
12. Operational Risk.
12.1 Basic indicator and standardized approach.
12.2 Statistical basis of the advanced measurement approach.
12.3 Operational value at risk.
Further reading.
PART IV: ANALYSIS - GOING-CONCERN VIEW.
13. General Mechanisms.
13.1 Market conditions and general risk factors.
13.2 New financial production.
13.3 Behavior and counterparty.
13.4 Cost.
13.5 Balancing.
Appendix: Aggregation.
13.A.1 Single contract level and performance.
13.A.2 Contract aggregation.
14. Banks.
14.1 Chart of accounts and portfolio structures.
14.2 Forecasting volume and characteristics.
14.3 Adding market forecast, counterparty information and behavior.
14.4 Analysis elements.
15. Life Insurance.
15.1 Chart of account.
15.2 The life contract.
15.3 Forecasting new production.
15.4 Analysis elements.
16. Non-life Insurance.
16.1 Chart of account.
16.2 The non-life contract.
16.3 The reinsurance contract.
16.4 Forecasting new volume and characteristics.
16.5 Analysis elements.
17. Nonfinancials.
17.1 Financial and nonfinancial corporates.
17.2 The nonfinancial model.
17.3 Analysis elements.
17.4 Corporate valuation.
PART V: OUTLOOK AND CONCLUSIONS.
18. The Financial Laboratory.
18.1 Risk and performance measurements.
18.2 Example of an economic risk report.
18.3 Optimization.
18.4 Consistency.
19. Towards a Unified Financial Language.
19.1 The need for a unified financial language.
19.2 Structure of a unified financial language.
19.3 New finance, new regulation.
Index.
