Unified Financial Analysis
the missing links of finance
(Sprache: Englisch)
'Unified Financial Analysis' arrives at the right time, in the midst of the current financial crisis where the call for better and more efficient financial control cannot be overstated. The book argues that from a technical perspective, there is no need for...
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'Unified Financial Analysis' arrives at the right time, in the midst of the current financial crisis where the call for better and more efficient financial control cannot be overstated. The book argues that from a technical perspective, there is no need for more, but for better and more efficiently organized information.
The title demonstrates that it is possible with a single but well organized set of information and algorithms to derive all types of financial analysis. This reaches far beyond classical risk and return or profitability management, spanning all risk categories, all valuation techniques (local GAAP, IFRS, full mark-to-market and so on) and static, historic and dynamic analysis, just to name the most important dimensions.
The dedication of a complete section to dynamic analysis, which is based on a going concern view, is unique, contrasting with the static, liquidation-based view prevalent today in banks. The commonly applied arbitrage-free paradigm, which is too narrow, is expanded to real world market models. The title starts with a brief history of the evolution of financial analysis to create the current industry structure, with the organisation of many banks following a strict silo structure, and finishes with suggestions for the way forward from the current financial turmoil.
Throughout the book, the authors advocate the adoption of a 'unified financial language' that could also be the basis for a new regulatory approach. They argue that such a language is indispensable, if the next regulatory wave - which is surely to come - should not end in an expensive regulatory chaos.
'Unified Financial Analysis' will be of value to CEOs and CFOs in banking and insurance, risk and asset and liability managers, regulators and compliance officers, students of Finance or Economics, or anyone with a stake in the finance industry.
Klappentext zu „Unified Financial Analysis “
'Unified Financial Analysis' arrives at the right time, in the midst of the current financial crisis where the call for better and more efficient financial control cannot be overstated. The book argues that from a technical perspective, there is no need for more, but for better and more efficiently organized information.The title demonstrates that it is possible with a single but well organized set of information and algorithms to derive all types of financial analysis. This reaches far beyond classical risk and return or profitability management, spanning all risk categories, all valuation techniques (local GAAP, IFRS, full mark-to-market and so on) and static, historic and dynamic analysis, just to name the most important dimensions.The dedication of a complete section to dynamic analysis, which is based on a going concern view, is unique, contrasting with the static, liquidation-based view prevalent today in banks. The commonly applied arbitrage-free paradigm, which is too narrow, is expanded to real world market models. The title starts with a brief history of the evolution of financial analysis to create the current industry structure, with the organisation of many banks following a strict silo structure, and finishes with suggestions for the way forward from the current financial turmoil.Throughout the book, the authors advocate the adoption of a 'unified financial language' that could also be the basis for a new regulatory approach. They argue that such a language is indispensable, if the next regulatory wave - which is surely to come - should not end in an expensive regulatory chaos.'Unified Financial Analysis' will be of value to CEOs and CFOs in banking and insurance, risk and asset and liability managers, regulators and compliance officers, students of Finance or Economics, or anyone with a stake in the finance industry.
'Unified Financial Analysis' arrives at the right time, in the midst of the current financial crisis where the call for better and more efficient financial control cannot be overstated. The book argues that from a technical perspective, there is no need for more, but for better and more efficiently organized information.
The title demonstrates that it is possible with a single but well organized set of information and algorithms to derive all types of financial analysis. This reaches far beyond classical risk and return or profitability management, spanning all risk categories, all valuation techniques (local GAAP, IFRS, full mark-to-market and so on) and static, historic and dynamic analysis, just to name the most important dimensions.
The dedication of a complete section to dynamic analysis, which is based on a going concern view, is unique, contrasting with the static, liquidation-based view prevalent today in banks. The commonly applied arbitrage-free paradigm, which is too narrow, is expanded to real world market models. The title starts with a brief history of the evolution of financial analysis to create the current industry structure, with the organisation of many banks following a strict silo structure, and finishes with suggestions for the way forward from the current financial turmoil.
Throughout the book, the authors advocate the adoption of a 'unified financial language' that could also be the basis for a new regulatory approach. They argue that such a language is indispensable, if the next regulatory wave - which is surely to come - should not end in an expensive regulatory chaos.
'Unified Financial Analysis' will be of value to CEOs and CFOs in banking and insurance, risk and asset and liability managers, regulators and compliance officers, students of Finance or Economics, or anyone with a stake in the finance industry.
The title demonstrates that it is possible with a single but well organized set of information and algorithms to derive all types of financial analysis. This reaches far beyond classical risk and return or profitability management, spanning all risk categories, all valuation techniques (local GAAP, IFRS, full mark-to-market and so on) and static, historic and dynamic analysis, just to name the most important dimensions.
The dedication of a complete section to dynamic analysis, which is based on a going concern view, is unique, contrasting with the static, liquidation-based view prevalent today in banks. The commonly applied arbitrage-free paradigm, which is too narrow, is expanded to real world market models. The title starts with a brief history of the evolution of financial analysis to create the current industry structure, with the organisation of many banks following a strict silo structure, and finishes with suggestions for the way forward from the current financial turmoil.
Throughout the book, the authors advocate the adoption of a 'unified financial language' that could also be the basis for a new regulatory approach. They argue that such a language is indispensable, if the next regulatory wave - which is surely to come - should not end in an expensive regulatory chaos.
'Unified Financial Analysis' will be of value to CEOs and CFOs in banking and insurance, risk and asset and liability managers, regulators and compliance officers, students of Finance or Economics, or anyone with a stake in the finance industry.
Inhaltsverzeichnis zu „Unified Financial Analysis “
List of FiguresList of Tables
Acknowledgments
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 a reflection
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
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
... mehr
reading 220
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
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 290
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
13.A 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
Further reading
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
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
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 290
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
13.A 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
Further reading
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
... weniger
Autoren-Porträt von Willi Brammertz, Ioannis Akkizidis, Wolfgang Breymann
Willi Brammertz (Zurich, Switzerland) has worked for 20 years in the field of financial analysis. He is founding partner of IRIS, now part of FRS Global, and father of one of the world's leading financial analysis systems riskpro(TM). This system now runs in more than 200 banks in about 20 countries.Ioannis Akkizidis (Zurich, Switzerland) is Financial Risk Management Consultant and Analyst for IRI S integrated risk management.Wolfgang Breymann (Zurich, Switzerland) is Professor for Financial Mathematics at the Zurich University of Applied Science Winterthur.Ram Entin (Zurich, Switzerland) is Financial Risk Management Consultant and Analyst for IRIS integrated risk management.Marco Rqstmann (Zurich, Switzerland) is a Lecturer and Researcher at the Zurich University of Applied Sciences in Risk and Insurance Management He holds a PhD from the University of St Gallen
Bibliographische Angaben
- Autoren: Willi Brammertz , Ioannis Akkizidis , Wolfgang Breymann
- 2009, 1. Auflage., 460 Seiten, Maße: 17,5 x 24,4 cm, Gebunden, Englisch
- By Willi Brammertz, Ioannis Akkizidis, Wolfgang Breymann et al.
- Verlag: Wiley & Sons
- ISBN-10: 0470697156
- ISBN-13: 9780470697153
Sprache:
Englisch
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