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Liquiditätsmodellierung von Kreditzusagen (term facilities and revolver)

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Author Info

  • Heidorn, Thomas
  • Schmaltz, Christian
  • Kunze, Wolfgang

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. --

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Bibliographic Info

Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 93.

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Date of creation: 2008
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Handle: RePEc:zbw:fsfmwp:93

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Related research

Keywords: Kreditzusagen; internes Modell; Liquiditätsrisiko; Banken;

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References

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  1. Anil K. Kashyap & Raghuram Rajan & Jeremy C. Stein, 1999. "Banks as Liquidity Providers: An Explanation for the Co-Existence of Lending and Deposit-Taking," NBER Working Papers 6962, National Bureau of Economic Research, Inc.
  2. Elena Loukoianova & Salih N. Neftci & Sunil Sharma, 2006. "Pricing and Hedging of Contingent Credit Lines," IMF Working Papers 06/13, International Monetary Fund.
  3. Evan Gatev & Til Schuermann & Philip E. Strahan, 2009. "Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 995-1020, March.
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Citations

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Cited by:
  1. Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
  2. Heimer, Thomas & Arend, Sebastian, 2008. "The genesis of the Black-Scholes option pricing formula," Frankfurt School - Working Paper Series 98, Frankfurt School of Finance and Management.
  3. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
  4. Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009. "Credit dynamics in a first passage time model with jumps," CPQF Working Paper Series 21, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  5. Schäffler, Christian & Schmaltz, Christian, 2009. "Market liquidity: an introduction for practitioners," Frankfurt School - Working Paper Series 131, Frankfurt School of Finance and Management.
  6. Carsten Herrmann-Pillath, 2012. "Institutions, distributed cognition and agency: rule-following as performative action," Journal of Economic Methodology, Taylor & Francis Journals, vol. 19(1), pages 21-42, March.
  7. Böger, Andreas & Heidorn, Thomas & Rupprecht, Stephan, 2009. "Einführung in das Kapitalstrukturmanagement," Frankfurt School - Working Paper Series 121, Frankfurt School of Finance and Management.
  8. Beyna, Ingo & Wystup, Uwe, 2010. "On the calibration of the Cheyette interest rate model," CPQF Working Paper Series 25, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).

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