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
Related Articles
- EP ID EP426608
- DOI 10.26531/vnbu2017.240.014
- Views 130
- Downloads 0
National Bank of Ukraine Econometric Model for the Assessment of Banks’ Credit Risk and Support Vector Machine Alternative
Econometric models of credit scoring started with the introduction of Altman’s simple z-model in 1968, but since then these models have become more and more sophisticated, some even use Artificial Neural Networks (ANN) a...
Using Macroeconomic Models for Monetary Policy in Ukraine
An important precondition for successful implementation of inflation targeting is the ability of the central bank to forecast inflation given the fact that the inflation forecast has become an intermediate target. Certai...
Behavioral Finance: History and Foundations
Recent evidence suggests that ideology has the potential to affect academic research in economics and that exposure to a wide range of approaches may increase intellectual diversity, eventually leading to better decision...
Macroeconomic Effects of Minimum Wage Increases in an Economy with Wage Underreporting
I have built a monetary DSGE model to investigate how wage underreporting in an economy characterized by a minimum wage regime affects the macroeconomic response to a minimum wage increase. The model is calibrated and es...
Do Firm-Bank Relationships Affect Corporate Cash Holdings?
Abstract This paper explores the impact of firm-bank relationships on corporate cash holdings using a sample of more than 4,000 Ukrainian companies over the period from 2008 to 2015. The empirical evidence suggests that...