Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
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 factor...
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| Format: | Article |
| Language: | English |
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National Bank of Ukraine
2017-06-01
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| Series: | Visnyk of the National Bank of Ukraine |
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| Online Access: | https://journal.bank.gov.ua/en/article/2017/240/02 |