Buch, Englisch, 286 Seiten
Buch, Englisch, 286 Seiten
ISBN: 978-1-84374-769-7
Verlag: Euromoney
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Module 1: The process of valuing a bank Introduction How mergers add value What makes a merger unattractive? Exercise 1.1 Three-stage valuation process Market value approach Equity value approach Exercise 1.2 Bank risks Exercise 1.3 Summary Module 2: IFRS disclosure for banks Applicable IFRS standards Exercise 2.1 Consolidated statement of income Consolidated statement of comprehensive income Consolidated statement of financial position Consolidated changes in equity Consolidated statement of cash flows Disclosure requirements for banks and similar institutions Exercise 2.2 Maturities of assets and liabilities IAS 39/IFRS 9 and hedging asset/liability mismatch Concentration of assets, liabilities and off-balance-sheet items Related-party transactions and other disclosures Merger accounting for banks Exercise 2.3 Summary Module 3: Book to market value FMV and a bank's assets and liabilities Exercise 3.1 Cash and cash equivalents Financial instruments Treasury bills and other eligible bills Trading and repo securities Derivatives (as assets) Exercise 3.2 Exercise 3.3 Other placements Investment securities Pledged assets Loans and advances to customers Customer liability for acceptances Lease financing Exercise 3.4 Real estate loans Exercise 3.5 Reserve for loan losses Investments in subsidiaries Intangible assets Bank premises and equipment Deferred tax assets Other assets Deposits Derivatives (as liabilities) Short-term borrowed funds Other borrowed funds Current and deferred tax liabilities Retirement benefit obligations Equity Exercise 3.6 Off-balance-sheet items Exercise 3.7 Case study example of book value to fair market value Annex: Example of a cash flow hedge (a 'plain vanilla' interest rate swap) Module 4: Market valuation models Model basis Due from banks: interest-bearing time deposits Exercise 4.1 Exercise 4.2 Treasury bills and other eligible bills Treasury notes Coupon versus discount rate Exercise 4.3 Treasury notes: market valuation between coupon dates Treasury bonds Zero-coupon bonds Discount rate and price Bond price over time (interest-paying bond) Securities purchased under agreement to resell (repos) Loans Reserve for loan losses Other assets Model summary for assets Exercise 4.4 Exercise 4.5 Model usage for liabilities Off-balance-sheet items Summary Module 5: Cash flow valuation for banks The equity approach Exercise 5.1 Estimating free cash flow Step 1: identifying the relevant components of free cash flow Step 2: developing an integrated historical perspective Step 3: forecasting changes in net interest income and developing the forecast assumptions Step 4: calculating and evaluating the resulting free cash flow forecast Exercise 5.2 Exercise 5.3 Module 6: GAP value drivers Static GAP analysis Dynamic GAP analysis Exercise 6.1 Determinants of rate sensitivity Factors affecting net interest income (NII) Changes in the level of interest rates Changes in the relationship between short-term asset yields and liability costs Changes in volume Changes in portfolio composition Rate sensitivity reports Strengths and weaknesses: GAP analysis Managing the GAP Link between GAP and NIM Sensitivity and simulation analysis The duration gap: managing the market value of equity Exercise 6.2 A duration application for banks An immunised portfolio GAP versus duration gap: which model is better? Macrohedging and the GAP Hedging and duration gap Summary Note: classification of cash and current account deposits Module 7: Equity value application Free cash flow valuation The capital asset pricing model (CAPM) The dividend valuation model Targeted return on equity (ROE) Exercise 7.1 Case application: valuing the free cash flow to shareholders Other valuation procedures EPS dilution constraints Exercise 7.2 Case application Non-financial considerations that affect mergers and acquisitions Summary Exercise 7.3 Module 8: Enhancing bank value under reformed markets Types of credit derivatives Credit default swaps Exercise 8.1 Exercise 8.2 Total return swaps Exercise 8.3 Credit-linked notes Exercise 8.4 Summary Module 9: Basel III and bank value Definitions of capital Basel I and Basel II Credit risk Market risk Operational risk Exercise 9.1 Pillars 2 and 3 Exercise 9.2 Internal growth rate of capital (IGRC) Supplementary traditional capital ratios Can shareholder value be added under Basel II? Factors motivating regulatory capital arbitrage Capital arbitrage in practice Summary Module 10: Value in stress testing and early warning signs Part 1: Stress testing and value What is a stress test? Why stress test? US Fed scenario CEBS scenario CEBS results CEBS comparison with US Fed test Relevance to bank valuation Part 2: Stress test: an early warning sign? Early warning signs of bank failure Detecting bank failure: Texas ratio Bank failures: background Review of bank failure models Detecting bank failure: rating systems Case study: buying a failed bank Exercise 10.1 Appendix Excess return models Glossary Answers to exercises References0
