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 ...
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
IRE<br />
IRE<br />
Average IRE F1 all banks<br />
nsim=100, hor=40<br />
0<br />
-1<br />
-2<br />
-3<br />
-4<br />
1<br />
2<br />
3<br />
servicing cost<br />
4<br />
5<br />
1<br />
2<br />
5<br />
4<br />
3<br />
withdrawal rate<br />
6<br />
Figure 13: Dependence <strong>of</strong> interest rate elasticity <strong>of</strong> level <strong>factor</strong> on di¤erent servicing cost <strong>and</strong> decay<br />
rate assumptions (servicing cost from 0-2% in 5 steps <strong>of</strong> 50bp each <strong>and</strong> decay rate from 0-50% in<br />
6 steps <strong>of</strong> 10% each).<br />
Average IRE F2 all banks<br />
nsim=100, hor=40<br />
0<br />
-0.5<br />
-1<br />
-1.5<br />
-2<br />
-2.5<br />
-3<br />
-3.5<br />
1<br />
2<br />
3<br />
servicing cost<br />
4<br />
5<br />
1<br />
2<br />
5<br />
4<br />
3<br />
withdrawal rate<br />
6<br />
Figure 14: Dependence <strong>of</strong> interest rate elasticity <strong>of</strong> slope <strong>factor</strong> on di¤erent servicing cost <strong>and</strong><br />
decay rate assumptions (servicing cost from 0-2% in 5 steps <strong>of</strong> 50bp each <strong>and</strong> decay rate from<br />
0-50% in 6 steps <strong>of</strong> 10% each).<br />
34
Change language