Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27859
Authors: 
Heidorn, Thomas
Schmaltz, Christian
Kunze, Wolfgang
Year of Publication: 
2008
Series/Report no.: 
Working paper series // Frankfurt School of Finance & Management 93
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.
Subjects: 
Kreditzusagen
internes Modell
Liquiditätsrisiko
Banken
JEL: 
G21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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