© Brammertz Consulting, 20091Date: 01.11.2015 Unified Financial Analysis Risk & Finance Lab Chapter 8: Financial Events and Liquidity Willi Brammertz /

Slides:

Advertisements

Similar presentations

1 CHAPTER 15 Interest Rate Derivative Markets. 2 CHAPTER 15 OVERVIEW This chapter will: A. Describe the plain vanilla interest rate swaps B. Explain the.

Advertisements

Interest Rates Chapter 4.

1 Term Structure of Interest Rates For 9.220, Ch 5A.

1 AFDC MAFC Training Program Shanghai 8-12 December 2008 Interest Rate Risk Management Christine Brown Associate Professor Department of Finance The University.

CHAPTER 4 BOND PRICES, BOND YIELDS, AND INTEREST RATE RISK.

Financial Innovation & Product Design II Dr. Helmut Elsinger « Options, Futures and Other Derivatives », John Hull, Chapter 22 BIART Sébastien The Standard.

BUSINESS MATHEMATICS 1.Calculation of Simple Interest 2.Calculation YTM 3.Capital Budgeting Techniques 4.Depreciation Methods.

Term Structure of Interest Rates For 9.220, Term 1, 2002/03 02_Lecture7.ppt.

8.1 Credit Risk Lecture n Credit Ratings In the S&P rating system AAA is the best rating. After that comes AA, A, BBB, BB, B, and CCC The corresponding.

The Oxford Guide to Financial Modeling by Ho & Lee Chapter 3. Bond Market: The Bond Model The Oxford Guide to Financial Modeling Thomas S. Y. Ho and Sang.

Chapter 6 Bonds and Bond Pricing  Real Assets versus Financial Assets\  Application of TVM – Bond Pricing  Semi-Annual Bonds  Types of Bonds  Finding.

Chapter 1. Introduction financial assets financial markets derivatives markets financial assets financial markets derivatives markets.

J. K. Dietrich - FBE Fall, 2005 Measuring and Managing Interest Rate Risk Week 9 – October 19, 2005.

Chapter 4. Understanding Interest Rates Present Value Yield to Maturity Other Yields Other Measurement Issues Present Value Yield to Maturity Other Yields.

© 2004 South-Western Publishing 1 Chapter 14 Swap Pricing.

FRM VaR Zvi Wiener VaR by example.

1 The market for bond and loans - measuring interest rates and returns Mishkin, Chap 4.

© 2003 The McGraw-Hill Companies, Inc. All rights reserved. Interest Rates and Bond Valuation Lecture 6.

09. Excel NPV and Goalseek. Discounted Cashflow modelling The key to estimating the value of an asset is to convert future cashflows to present value.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 4: Market Risk Factors Willi Brammertz / Ioannis Akkizidis.

MONEY & BOND MARKETS AN INTRODUCTION TO MONETARY ECONOMICS Interest Rate consists of 3 components: 1) inflation 1) inflation 2) reward for postponing consumption.

McGraw-Hill/Irwin Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved. Chapter 16 Managing Bond Portfolios.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 12: Operational risk Willi Brammertz / Ioannis Akkizidis.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 13: The going-concern view / General mechanisms Willi.

Paola Lucantoni Financial Market Law and Regulation.

McGraw-Hill/Irwin Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved. Chapter 16 Managing Bond Portfolios.

Chapter 4: Interest Rates

CHAPTER 5 BOND PRICES AND RISKS. Copyright© 2003 John Wiley and Sons, Inc. Time Value of Money A dollar today is worth more than a dollar in the future.

© Brammertz Consulting, 20111Date: Unified Financial Analysis Risk & Finance Lab Chapter 10: Sensitivity Willi Brammertz / Ioannis Akkizidis.

1 CHAPTER TWO: Time Value of Money and Term Structure of Interest.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 15: Life insurance Willi Brammertz / Ioannis Akkizidis.

Study Unit 10 Investment Decisions. SU – The Capital Budgeting Process Definition – Planning and controlling investment for long-term projects.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 11: Risk Willi Brammertz / Ioannis Akkizidis.

Professor XXX Course Name & Number Date Risk Management and Financial Engineering Chapter 21.

© 2004 Pearson Addison-Wesley. All rights reserved 13-1 Hedging Hedge: engage in a financial transaction that reduces or eliminates risk Basic hedging.

Summary of Last Lecture Future Value of Simple Interest Future Value = Present Value + Interest Amount Interest amount = Principal amount x Interest rate.

Valuation and Rates of Return Chapter 10. Chapter 10 - Outline Valuation of Bonds Relationship Between Bond Prices and Yields Preferred Stock Valuation.

Learning Objectives Power Notes 1.Financing Corporations 2.Characteristics of Bonds Payable 3.The Present-Value Concept and Bonds Payable 4.Accounting.

© 2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible Web site, in whole or in part.

© Brammertz Consulting, 20091Date: Chapter 5: Counterparty Willi Brammertz / Ioannis Akkizidis Unified Financial Analysis Risk & Finance Lab.

© Brammertz Consulting, 20091Date: Unified Financial Analysis The Risk&Finance Lab Chapter 3: Financial Contracts Willi Brammertz / Ioannis.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 7: Costs Willi Brammertz / Ioannis Akkizidis.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 14: Dynamic simulation of banks Willi Brammertz / Ioannis.

© 2012 McGrawHill Ryerson Ltd. Chapter 6 -  A graph of the relationship between time to maturity and yield to maturity, for bonds that differ only in.

MGT 470 Final Exam Review 1 Question Types: Multiple choice, True/false w/ explanation, Short answer, Short essay, Fill-in-the-blank Problems: Multiple.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapters 1&2 Willi Brammertz / Ioannis Akkizidis.

CHAPTER 4 BOND PRICES, BOND YIELDS, AND INTEREST RATE RISK.

MGT 470 Test 1 Review 1 Question Types: Multiple choice, True/false w/ explanation, Short answer, Short essay, Fill-in-the-blank Problems: Multiple choice.

 The McGraw-Hill Companies, Inc., 1999 INVESTMENTS Fourth Edition Bodie Kane Marcus Irwin/McGraw-Hill 16-1 Fixed-Income Portfolio Management Chapter.

FIXED INCOME MANAGEMENT1 MEASURING YIELD. FIXED INCOME MANAGEMENT2.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 16: Non-Life insurance Willi Brammertz / Ioannis Akkizidis.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 6: Behavior Willi Brammertz / Ioannis Akkizidis.

Copyright (c) McGraw-Hill Ryerson Limited. Chapter 5: Learning Objectives What is the Interest Rate? Different Interest Rate Measures: from YTM to STRIPS.

Stock & Bond Valuation Professor XXXXX Course Name / Number.

The Time Value of Money Schweser CFA Level 1 Book 1 – Reading #5 master time value of money mechanics and crunch the numbers.

Financial Risk Management of Insurance Enterprises Swaps.

SWAPS Mario Cerrato. Interest Rate Swaps (Hull 2008 is a good reference for this topic). Definition: an interest rate swap is an agreement between two.

McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved Managing Bond Portfolios Chapter 16.

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapters 1&2 Willi Brammertz / Ioannis Akkizidis.

Time Value of Money & BONDS

Currency Swaps and Swaps Markets

Interest Rate Options Chapter 21

Valuing Financial Assets

Unified Financial Analysis Risk & Finance Lab

Derivative Financial Instruments

Interest Rate Risk Chapter 9

Managing Bond Portfolios

Bonds Payable and Investments in Bonds

Definition of Risk Variability of Possible Returns Or The Chance That The Outcome Will Not Be As Expected copyright anbirts.

Derivative Financial Instruments

Presentation transcript:

© Brammertz Consulting, 20091Date: Unified Financial Analysis Risk & Finance Lab Chapter 8: Financial Events and Liquidity Willi Brammertz / Ioannis Akkizidis

© Brammertz Consulting, 20092Date: From input to analysis elements Cost

© Brammertz Consulting, 20093Date: Time to Maturity Volatility in t 0 (  ) Yield Static analysis (liquidation view) Type I and II analysis Time Liabilities Assets t0t0 Existing Business NPV

© Brammertz Consulting, 20094Date: Liquidation view Some thoughts > Concept is trading floor related (sell to the last fool) > What is value under a strict liquidation view? > How much can markets change if Δ t = 0? > Real life is going concern > Why is liquidation view still a valid concept?

© Brammertz Consulting, 20095Date: Contract events and cash flows > Contract events are the expression of the input elements on the time line given a state of the risk factors (state contingent cash flows) > Contract events are a level higher than cash-flows > Contract events are interpreted in two principally different ways Rock bottom of Finance

© Brammertz Consulting, 20096Date: Importance of event level > Rock bottom: The event level contains all information that is possible in finance > Precondition: The input elements must be rich > Contracts and behavior as open dimensions > All financial contracts are homogenous on the event level > E.g. a saving contract and an option „are equal“! > Question: Where are the events in option pricing?

© Brammertz Consulting, 20097Date: The five analysis elements

© Brammertz Consulting, 20098Date: Liquidity vs value view LiquidityZES (Chapter 10)

© Brammertz Consulting, 20099Date: List of important event types (RiskPro™)

© Brammertz Consulting, Date: Events on the time line Example: Variable annuity

© Brammertz Consulting, Date: Mathematics kicks in only after the explicit representation of the events. Example of events

© Brammertz Consulting, Date: Example 1: Money market

© Brammertz Consulting, Date: Example 2: Fixed bond

© Brammertz Consulting, Date: Example 3: RGM with draw down

© Brammertz Consulting, Date: Example 4: Variable rate bond

© Brammertz Consulting, Date: Example 5: Variable annuity Pattern

© Brammertz Consulting, Date: Example 5: Variable annuity Events

© Brammertz Consulting, Date: > A swap is the simple sum of two basic contracts (example 2 + example 4) Example 6: Swap 18

© Brammertz Consulting, Date: Example 6: Swap 19

© Brammertz Consulting, Date: Example 7: FRA 20

© Brammertz Consulting, Date: Example 8: Effect of behavior 21

© Brammertz Consulting, Date: Liquidity gap > Cash management vs. Liquidity gap > Gap: numerical or graphical representation of liquidity flows on the time line > Needs definition of time buckets > Calculation: > Sum expected cash flows (forward scenario) over all relevant contracts > Group per time bucket

© Brammertz Consulting, Date: Example: Liquidity gap results Data: Examples 1-6

© Brammertz Consulting, Date: Marginal and cumulative liquidity gap