Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities

• Main Author: Ihor Voloshyn
• Format: Article
• Language: English
• Published: National Bank of Ukraine 2017-06-01
• Series: Visnyk of the National Bank of Ukraine
• Subjects: utilization rate; committed credit facilities; exposure at default; credit conversion factor; liquidity conversion factor
• Online Access: https://journal.bank.gov.ua/en/article/2017/240/02
• ISSN: 2414-987X

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.