Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities

Ihor Voloshyn ()
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Ihor Voloshyn: National Bank of Ukraine

Visnyk of the National Bank of Ukraine, 2017, issue 240, 14-21

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.

Keywords: Utilization rate; committed credit facilities; exposure at default; credit conversion factor; liquidity conversion factor (search for similar items in EconPapers)
JEL-codes: C58 G21 G32 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ukb:journl:y:2017:i:240:p:14-21

DOI: 10.26531/vnbu2017.240.014

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