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 134
- Downloads 0
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