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NATIONAL BANK OF BELGIUM WORKING PAPERS - RESEARCH SERIES A MULTI-FACTOR MODEL FOR THE VALUATION AND RISK MANAGEMENT OF DEMAND DEPOSITS ___________________ Hans Dewachter (*) Marco Lyrio (**) Konstantijn Maes (***) We thank the risk managers that attended KBC, ING, FORTIS, and DEXIA presentations and also the participants of the AFFI and EFA conference meetings for constructive comments. We explicitly thank James O'Brien, Janet Mitchell, and Oliver Entrop for extremely useful comments on an earlier draft of this paper. The views and findings of this paper are entirely those of the authors and do not necessarily reflect the views of the National Bank of Belgium. __________________________________ (*) Catholic University of Leuven, Center for Economic Studies, and Erasmus University Rotterdam, Rotterdam School of Management, e-mail: hans.dewachter@econ.kuleuven.be. (**) University of Warwick, Warwick Business School, Finance Group, e-mail: marco.lyrio@wbs.ac.uk. (***) Corresponding author. National Bank of Belgium, Financial Stability Department (DY), boulevard de Berlaimont 14, B-1000 Brussels, Belgium: (+) 32 (0)22215332, e-mail: konstantijn.maes@nbb.be. NBB WORKING PAPER No. 83 - MAY 2006
Editorial Director Jan Smets, Member of the Board of Directors of the National Bank of Belgium Statement of purpose: The purpose of these working papers is to promote the circulation of research results (Research Series) and analytical studies (Documents Series) made within the National Bank of Belgium or presented by external economists in seminars, conferences and conventions organised by the Bank. The aim is therefore to provide a platform for discussion. The opinions expressed are strictly those of the authors and do not necessarily reflect the views of the National Bank of Belgium. The Working Papers are available on the website of the Bank: http://www.nbb.be Individual copies are also available on request to: NATIONAL BANK OF BELGIUM Documentation Service boulevard de Berlaimont 14 BE - 1000 Brussels Imprint: Responsibility according to the Belgian law: Jean Hilgers, Member of the Board of Directors, National Bank of Belgium. Copyright © fotostockdirect - goodshoot gettyimages - digitalvision gettyimages - photodisc National Bank of Belgium Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. ISSN: 1375-680X NBB WORKING PAPER No. 83 - MAY 2006
Page 1: Working paper research n° 83 May 2
Page 6: TABLE OF CONTENTS I. INTRODUCTION .
Page 9 and 10: e¤orts, no uniformly accepted mode
Page 11 and 12: liability value can be rewritten as
Page 13 and 14: In order to explain deposit rates,
Page 15 and 16: Deposit balance dynamics In valuing
Page 17 and 18: Table 2: Deposit premium and durati
Page 19 and 20: Table 4: Summary statistics of sele
Page 21 and 22: estimated). Corresponding tables wi
Page 23 and 24: short rate (being the sum of the te
Page 25 and 26: The results in Table 10 show that p
Page 27 and 28: future months it does not mature (i
Page 29 and 30: Most of the controversy can be link
Page 31 and 32: eplicating portfolio models, we …
Page 33 and 34: [19] Hannan, T. and A. Berger (1991
Page 35 and 36: Billion euro Billion euro Deposit r
Page 37 and 38: Factor loadings 1 factor model Fact
Page 39 and 40: PV 0.25 Average of cumulative PV ec
Page 41 and 42: IRE IRE Average IRE F1 all banks ns
Page 43 and 44: Table 14: Estimated parameters for
Page 45 and 46: 31. "Governance as a source of mana

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