Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities

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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Bibliographic Details
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
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spelling doaj-d6409f67068e4ae1b80292acd8efb4ca2020-11-24T21:27:52ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2017-06-01240142110.26531/vnbu2017.240.014Predicting the Utilization Rate and Risk Measures of Committed Credit FacilitiesIhor Voloshyn0National Bank of UkraineThis 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.https://journal.bank.gov.ua/en/article/2017/240/02utilization ratecommitted credit facilitiesexposure at defaultcredit conversion factorliquidity conversion factor
collection DOAJ
language English
format Article
sources DOAJ
author Ihor Voloshyn
spellingShingle Ihor Voloshyn
Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
Visnyk of the National Bank of Ukraine
utilization rate
committed credit facilities
exposure at default
credit conversion factor
liquidity conversion factor
author_facet Ihor Voloshyn
author_sort Ihor Voloshyn
title Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
title_short Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
title_full Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
title_fullStr Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
title_full_unstemmed Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
title_sort predicting the utilization rate and risk measures of committed credit facilities
publisher National Bank of Ukraine
series Visnyk of the National Bank of Ukraine
issn 2414-987X
publishDate 2017-06-01
description 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.
topic utilization rate
committed credit facilities
exposure at default
credit conversion factor
liquidity conversion factor
url https://journal.bank.gov.ua/en/article/2017/240/02
work_keys_str_mv AT ihorvoloshyn predictingtheutilizationrateandriskmeasuresofcommittedcreditfacilities
_version_ 1725972873598730240

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