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A multi-factor model for the valuation and risk management of demand deposits
Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - 2006
the face value and can we reliably measure it? To what extent is the economic value sensitive to yield curve changes? In … this paper, we try to answer the above questions. The valuation is performed on yield curve, deposit rate and deposit … (yield curve level versus slope shock) and on the average decay rate. We assess the reliability of the reported point …
Persistent link: https://www.econbiz.de/10003367990
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A multi-factor model for the valuation and risk management of demand deposits
Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - 2006
the face value and can we reliably measure it? To what extent is the economic value sensitive to yield curve changes? In … this paper, we try to answer the above questions. The valuation is performed on yield curve, deposit rate and deposit … (yield curve level versus slope shock) and on the average decay rate. We assess the reliability of the reported point …
Persistent link: https://www.econbiz.de/10011506605
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The Rate Elasticity of Retail Deposits in the United Kingdom : A Macroeconomic Investigation
Chiu, Ching-Wai (Jeremy) - 2015
This paper quantitatively studies the behaviour of major banks' household deposit funding in the United Kingdom. We estimate a panel of Bayesian vector autoregressive models on a unique data set compiled by the Bank of England, and identify deposit demand and supply shocks, both to individual...
Persistent link: https://www.econbiz.de/10013018010
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Banking on Uninsured Deposits
Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; … - National Bureau of Economic Research - 2023
Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates rise, the value of the assets falls but the value of the...
Persistent link: https://www.econbiz.de/10014250156
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Is Maturity-Transformation Risk Priced into Bank Deposit Rates?
Fleckenstein, Matthias; Longstaff, Francis A. - National Bureau of Economic Research - 2024
We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost is strongly related to the amount of...
Persistent link: https://www.econbiz.de/10014635687
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Deposit Flow Seasonalities and the January Effect in Retail Deposit Rates
Kotomin, Vladimir - 2019
Deposits flow out of the US banking system in January and February and flow in later in the year. In response to this outflow, banks increase rates on retail deposit products in January, including time, savings, and money market deposit accounts. Banks tend to offer highest deposit rates in...
Persistent link: https://www.econbiz.de/10012858933
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Strategic Price Competition in Local Retail Deposit Markets : Impact of Branching, Wholesale Funds Access and Liquidity Demand
Opiela, Timothy - 2023
Studies often estimate competition at an aggregate level due to lack of detailed data, sometimes yielding untenable interpretations. Our concept of oligopoly price competition facilitates estimation and interpretation at the firm-market level using available data. We combine a spatial-oligopoly...
Persistent link: https://www.econbiz.de/10014254801
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An Anatomy of the Level 3 Fair Value Hierarchy Discount
Bagna, Emanuel - 2014
financial instruments held by European banks and classified into the Level 3 Fair Value hierarchy under IFRS 7. We believe that … IFRS 7 and that this result support the strong enforcement activity made by national authorities. We also show that …
Persistent link: https://www.econbiz.de/10013061771
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Interest rate risk in banking
DeMarzo, Peter M.; Krishnamurthy, Arvind; Nagel, Stefan - 2024
We develop a framework to estimate bank franchise value. Contrary to existing models, sticky deposits and low deposit rate betas do not imply negative duration. While operating costs could generate negative duration, they are offset by fixed interest rate spreads from lending activity....
Persistent link: https://www.econbiz.de/10015178425
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Risk management of savings accounts
Džmuráňová, Hana; Teplý, Petr - 2014
regulation yet, we propose imposing stricter regulation and supervision (the Belgium framework might be an inspiring model to …
Persistent link: https://www.econbiz.de/10010344157