Session
Management, Business and Economics
Description
An existing factor model for valuing banks from the point of view of an outside observer is applied and the importance of the main factors defining value are assessed and their importance analyzed. The banks are explicitly modeled for a future period, based on the trends, returns and balance sheet proportions derived from their historically published statements. Assumptions are then made, incorporating information about the economic cycle, the policy of the central bank and ECB. The objective is to calibrate, apply and assess the behavior of a model which can then be used to stochastically stress test the banks under review. The procedure is independent from the one used and recommended by the public monetary authorities and intends to enrich the set of tools available to both academics and practitioners.
Keywords:
DCF model, bank valuation, stress testing, value drivers, interest rate forecast, net interest income, net non-interest income
Session Chair
Edmond Hajrizi
Session Co-Chair
Armend Muja
Proceedings Editor
Edmond Hajrizi
ISBN
978-9951-437-69-1
First Page
92
Last Page
98
Location
Pristina, Kosovo
Start Date
27-10-2018 1:30 PM
End Date
27-10-2018 3:00 PM
DOI
10.33107/ubt-ic.2018.274
Recommended Citation
Ralinska, Elena, "A factor model for DCF valuation and application to the five largest banks in Bulgaria" (2018). UBT International Conference. 274.
https://knowledgecenter.ubt-uni.net/conference/2018/all-events/274
A factor model for DCF valuation and application to the five largest banks in Bulgaria
Pristina, Kosovo
An existing factor model for valuing banks from the point of view of an outside observer is applied and the importance of the main factors defining value are assessed and their importance analyzed. The banks are explicitly modeled for a future period, based on the trends, returns and balance sheet proportions derived from their historically published statements. Assumptions are then made, incorporating information about the economic cycle, the policy of the central bank and ECB. The objective is to calibrate, apply and assess the behavior of a model which can then be used to stochastically stress test the banks under review. The procedure is independent from the one used and recommended by the public monetary authorities and intends to enrich the set of tools available to both academics and practitioners.