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Modeling The Sources Of Value In Banks And Valuation Through The Discounted Cash Flow Method

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  • Elena Ralinska

    (UNWE)

Abstract

We propose an upgrade, adaptation and implementation of a factor model of historical financial analysis, forecasting and valuation of the banking institution through the method of discounted cash flows based on publicly accessible data, which can be applied in the practice. We research the adequacy and plausibility of the approach, its benefits and drawbacks, as we test it on Unicredit Bulbank Ltd, and we apply a comparative valuation approach and accounting reference values of control of the obtained results. The research objective is to upgrade and calibrate the model by introducing restrictive conditions for forecasting in compliance with the existing regulatory framework and the observations of the practice. For this purpose, we have also introduced a feasible parametrization and we have brought forth relevant recommendations for forecasting the activity of banking financial institutions.

Suggested Citation

  • Elena Ralinska, 2019. "Modeling The Sources Of Value In Banks And Valuation Through The Discounted Cash Flow Method," Economic Archive, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 33-51.
    • Handle: RePEc:dat:earchi:y:2019:i:1:p:33-51
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    File URL: http://hdl.handle.net/10610/4062
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    References listed on IDEAS

    as
    1. Bilyana Bogdanova & Ingo Fender & Előd Takáts, 2018. "The ABCs of bank PBRs," BIS Quarterly Review, Bank for International Settlements, March.
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    More about this item

    Keywords

    factor model; value of a bank; CAMP2 ; discounted cash flow model; shareholders’ net income;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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