Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
a National Bank of Ukraine, Kyiv, Ukraine

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.

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Avaliable online 25 June 2017
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Cite as: Voloshyn, I. (2017). Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities. Visnyk of the National Bank of Ukraine, 240, 14-21.
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