Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities

Journal Title: Visnyk of the National Bank of Ukraine - Year 2017, Vol 0, Issue 240

Abstract

This study proposes a model for predicting the expected drawn amount of credit facilities. To model the committed credit facilities we rely on the conditional expected utilization rate derived from a joint truncated bivariate probability distribution. The expected monthly liquidity conversion factors for corporate credit lines are compared to actuals and the bivariate normal distribution is concluded to be appropriate for a practical estimate of the future utilization rate.

Authors and Affiliations

Ihor Voloshyn

Keywords

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  • EP ID EP426608
  • DOI 10.26531/vnbu2017.240.014
  • Views 138
  • Downloads 0

How To Cite

Ihor Voloshyn (2017). Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities. Visnyk of the National Bank of Ukraine, 0(240), 14-21. https://europub.co.uk/articles/-A-426608