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Sophisticated cash flow / event engine

Risk. Treasury. Regulatory. Controlling. Accounting.

Key for many types of analysis in market, credit, interest rate, liquidity, operational, insurance risk and regulatory reporting is a sophisticated event engine, which covers all kinds of financial instruments:

  • On-balance: Loans, mortgages, step-up / down, roller coaster, fixed deposits, issuances, non-maturity account, non-maturing deposits / replication portfolio, life, non-life, reinsurance, funds, private equity, baskets, commodities, stock options, FX options, swaptions, futures etc.
  • Off-balance: Letter of credit, loan commitments, liquidity facilities etc.

For each of them RaPID calculates:

  1. Cash flows
  2. Valuation
  3. Income / expense

There are varous cash flows types:

  • Cash flow event generated by the replication scenario
  • Claim handling costs
  • Commission payment
  • Cost payment
  • Decrement – decreases the absolute value of the nominal value
  • Dividend paymentDraw down payments e.g. from a loan.
  • Event of death generated by a scenario event
  • Fee payment
  • Guarantee payment used in scenario analysis when conditions are met (e.g. due to default).
  • Increment – increases the absolute value of the nominal value
  • Interest payment
  • Maturity date
  • New maturity date after prolongation
  • Option exercise date
  • Payment of a claim already known
  • Premiums e.g. from a policyholder
  • Prepayment
  • Principal payment
  • Profit payment
  • Projected payment of a claim used in scenario analysis
  • Recovery payment
  • Selling of securities, syndication, outplacement, or intention to sell in case it is fixed on contract
  • Tax payment
  • Termination date
  • Value date payment
  • Withdrawal of money of e.g. saving accounts
  • Original premium / discount payment
  • Premium / discount payment at termination date

RaPID covers the following valuation types:

  • Amortized cost: AVO §89.1, IFRS 9 §5.4
  • Bachelier option pricing (BCR): IFRS 13 B11 b)
  • Binomial Model (BNM): IFRS 13 B11 b)
  • Black-Scholes-Merton (BSM): IFRS 13 B11 b)
  • Book value linear write-off up to maturity
  • Book value write-off by a percentage: OR § 960 II 1.3
  • Capital Asset Pricing Model (CAPM)
  • Discounted cash flow method (DCM): IFRS 9 B11 a)
  • Expert judgement
  • Finance lease: IFRS 16
  • Finma RS 2008/42: Life insurance
  • Finma RS 2008/42: P&C insurance
  • General measurement approach (GMA): IFRS 17
  • Hedonistic method
  • Link to growth rate of the market object
  • Lower of cost or market (LCM): OR §960 II.1.1
  • Market value based on behavioral modeling
  • Monte Carlo (MC): IFRS 13 B11 b)
  • Net asset value
  • No valuation, value is set to 0.
  • Nominal value: OR §960 III.1 (used by default)
  • Notional value mainly used for derivatives
  • Premium / discount linear write-off/up to maturity: AVO §89.3
  • Premium / discount linear write-off/up to repricing
  • Premium / discount write-off/up at the beginning.
  • Premium / discount write-off/up at the end.
  • Premium allocation approach (PAA): IFRS 17
  • Valuation on calibrated spread with discounting
  • Variable fee approach (VFA): IFRS 17

The following income / expense indicators are covered:

  • Interest (in-advance / accrued)
  • Dividend (in-advance / accrued)
  • Fee (in-advance / accrued)
  • Tax (in-advance / accrued)
  • FX (in-advance / accrued)
  • Impairment
  • Expected credit loss
  • Depreciation
  • Premium (in-advance / accrued)
  • Insurance revenue
  • Insurance service expense
  • Insurance finance expense
  • OCI

For insurance policies various type of frequency and severity distributions are covered:

  • Poison
  • Geometric
  • Log series
  • Negative binomial
  • Beta binomial
  • Exponential
  • Pareto
  • Weibull
  • Gamma
  • Normal
  • Half normal
  • Uniform