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.
- Cash flows
- Valuation
- Income / expense
- 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
- 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
- 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
- Poison
- Geometric
- Log series
- Negative binomial
- Beta binomial
- Exponential
- Pareto
- Weibull
- Gamma
- Normal
- Half normal
- Uniform