A multi-factor model for the valuation and risk management of ...
A multi-factor model for the valuation and risk management of ...
A multi-factor model for the valuation and risk management of ...
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Billion euro<br />
Billion euro<br />
Deposit rate<br />
Deposit rate<br />
0.06<br />
0.05<br />
Average deposit rate Big 4 vs. market rate<br />
Average<br />
5yr-rate<br />
Average deposit rate medium-size banks vs. market rate<br />
0.06<br />
0.05<br />
0.04<br />
0.04<br />
0.03<br />
0.03<br />
0.02<br />
1995 2000 2005<br />
Date<br />
0.02<br />
1995 2000 2005<br />
Date<br />
30<br />
Average deposit balances Big 4<br />
Average deposit balances medium-sized banks<br />
7<br />
25<br />
6<br />
20<br />
15<br />
10<br />
5<br />
4<br />
3<br />
2<br />
5<br />
1<br />
0<br />
1995 2000 2005<br />
Date<br />
0<br />
1995 2000 2005<br />
Date<br />
Figure 1: Belgian deposit rate <strong>and</strong> balance data (1994:Q4-2005:Q2).<br />
0.09<br />
0.08<br />
Selected y ield dy namics<br />
1m<br />
12m<br />
3yr<br />
5yr<br />
10y r<br />
0.07<br />
0.06<br />
0.05<br />
0.04<br />
0.03<br />
0.02<br />
0.01<br />
1994 1996 1998 2000 2002 2004 2006<br />
Figure 2: Belgian yield dynamics (December 1994-June 2005).<br />
28
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