Liquiditätsmodellierung von Kreditzusagen (term facilities and revolver)

Thomas Heidorn, Christian Schmaltz and Wolfgang Kunze

No 93, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

Abstract: This paper discusses the management of loan commitments (Kreditzusagen). First, we elaborate on the necessary steps to efficiently manage liquidity facilities. In particular, the drawdown pattern of single commitments and a portfolio of such commitments have to be modelled. Based on the drawdown model, internal transfer prices for loan commitments can be derived. In the context of an industry project, we describe how to set up and to calibrate drawdown models for several types of commitments in practise. We present several model approaches, discuss their properties and provide a perspective for further enhancements.

Keywords: Kreditzusagen; internes Modell; Liquiditätsrisiko; Banken (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:93

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