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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PV<br />
0.25<br />
Average <strong>of</strong> cumulative PV economic rents as % <strong>of</strong> balance<br />
nsim=500, hor=40, sc=0, withdrawal=0.15<br />
0.2<br />
0.15<br />
0.1<br />
0.05<br />
Big 4 average<br />
Medium-size average<br />
0<br />
0 20 40 60 80 100 120 140 160<br />
Quarters<br />
Figure 9: Cumulated discounted earned economic rents, averaged over all simulation runs <strong>and</strong><br />
averaged over <strong>the</strong> banks within a group (servicing cost 0% <strong>and</strong> decay rate 15%).<br />
45<br />
40<br />
Distribution deposit premium,<br />
nsim=100, nsimchol=100, hor=40, time=165.6434, sc=0, withdrawal=0.15<br />
Big 4 average<br />
Medium-sized average<br />
35<br />
30<br />
25<br />
20<br />
15<br />
10<br />
5<br />
0<br />
0.19 0.2 0.21 0.22 0.23 0.24 0.25<br />
Premium<br />
Figure 10: Distribution <strong>of</strong> premium estimates, when term structure <strong>factor</strong>s start from r<strong>and</strong>om<br />
draws <strong>of</strong> <strong>the</strong>ir distribution (servicing cost 0%, decay rate 15%).<br />
32
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