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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 Managment of Demand Deposits
Dewachter, Hans - 2010
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/10013137273
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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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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
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Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate : A GARCH-M Model
Elyasiani, Elyas - 2016
The objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process. This framework discards the restrictive assumptions...
Persistent link: https://www.econbiz.de/10013006325
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Time-Varying Market, Interest Rate, and Exchange Rate Risk Premia in the U.S. Commercial Bank Stock Returns
Tai, Chu-Sheng - 2021
This paper examines the role of market, interest rate, and exchange rate risks in pricing a sample of the US Commercial Bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three different econometric methodologies are used to conduct...
Persistent link: https://www.econbiz.de/10013244924
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Loan Fair Value Disclosures and Deposit Flows
Chen, Qi; Vashishtha, Rahul; Wang, Shuyan - 2022
Using a large sample of U.S. commercial banks from 1994 to 2019, we provide the first evidence on the decision-relevance of loan fair values for uninsured depositors. Our evidence suggests that loan fair value changes are quite relevant for depositor decision making, but the information in fair...
Persistent link: https://www.econbiz.de/10013294851