Bank Forecasting and Valuation - Advanced Topics

This course looks at:

Investment banking activities

• Economics and disclosure of key modern activities
• Securitisations: recognition / derecognition and fees
• Trading portfolio
• Expansion of derivatives: benefits and exposure to counterparty risk
• Expansion of repos and securities lending: link with prime brokerage
• Funding structure and asset liability mismatch
• Risk measurement: economic capital vs. regulatory capital
• Changing competitive landscape
• Consolidation
• Failures and state intervention
• Impact on banks performance

Advanced valuation topics and techniques

• Economic profit models
• Definition of economic profit
• Demonstrating the equivalence between DCF and economic profit valuation under same assumptions Forecasting the trading book
• Fades
• Constructing fades for banks
• Fading capital growth and profitability to sustainable level
• Extracting and valuing free cash flow and economic profit with fades
• Sum-of-the-parts valuation of banks
• Building a group forecasting model bottom-up
• Key drivers by business
• Retail banking
• Corporate banking
• Asset management
• Investment banking
• Aggregating business lines in group forecasts
• Allocating capital
• Valuation considerations and trading multiples for sub-sectors
• Valuing capital surplus/deficit
• Valuing foreign country subsidiaries
• Impact of foreign exchange on forecasts, cost of equity and valuation