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Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities

Author

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  • Ihor Voloshyn

    (National Bank of Ukraine)

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.

Suggested Citation

  • Ihor Voloshyn, 2017. "Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 240, pages 14-21.
  • Handle: RePEc:ukb:journl:y:2017:i:240:p:14-21
    DOI: 10.26531/vnbu2017.240.014
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    File URL: https://journal.bank.gov.ua/en/article/2017/240/02
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    File URL: https://libkey.io/10.26531/vnbu2017.240.014?utm_source=ideas
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    Cited by:

    1. Frank Ranganai Matenda & Mabutho Sibanda & Eriyoti Chikodza & Victor Gumbo, 2021. "Determinants of corporate exposure at default under distressed economic and financial conditions in a developing economy: the case of Zimbabwe," Risk Management, Palgrave Macmillan, vol. 23(1), pages 123-149, June.

    More about this item

    Keywords

    Utilization rate; committed credit facilities; exposure at default; credit conversion factor; liquidity conversion factor;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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