A multi-factor model for the valuation and risk management of ...

deposit premium
Histogram F1 IRE
nsim=100, nsimchol=100, hor=40, time=165.6434, sc=0, withdrawal=0.15
20
10
Big 4 average
Medium-sized average
0
-5 -4.5 -4 -3.5 -3 -2.5 -2 -1.5 -1 -0.5
IRE
Histogram F2 IRE
nsim=100, nsimchol=100, hor=40, time=165.6434, sc=0, withdrawal=0.15
20
10
0
-5 -4.5 -4 -3.5 -3 -2.5 -2 -1.5 -1 -0.5
IRE
Histogram F3 IRE
nsim=100, nsimchol=100, hor=40, time=165.6434, sc=0, withdrawal=0.15
20
10
0
-5 -4.5 -4 -3.5 -3 -2.5 -2 -1.5 -1 -0.5
IRE
Figure 11: Distribution of IRE estimates, when the term structure factors start from vectors
randomly drawn of their distribution (servicing cost 0%, decay rate 15%).
Average premium all banks
nsim=100, hor=40
0.5
0.4
0.3
0.2
0.1
0
1
2
3
servicing cost
4
5
1
2
5
4
3
withdrawal rate
6
Figure 12: Dependence of deposit premium on di¤erent servicing cost and decay rate assumptions
(servicing cost from 0-2% in 5 steps of 50bp each and decay rate from 0-50% in 6 steps of 10%
each).
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