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dc.contributor.authorHeidorn, Thomasen_US
dc.contributor.authorSchmaltz, Christianen_US
dc.contributor.authorKunze, Wolfgangen_US
dc.date.accessioned2009-01-30en_US
dc.date.accessioned2009-09-10T13:54:11Z-
dc.date.available2009-09-10T13:54:11Z-
dc.date.issued2008en_US
dc.identifier.piurn:nbn:de:101:1-2008082987en_US
dc.identifier.urihttp://hdl.handle.net/10419/27859-
dc.description.abstractThis 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.en_US
dc.language.isogeren_US
dc.publisherFrankfurt School of Finance & Management Frankfurt a. M.en_US
dc.relation.ispartofseriesWorking paper series // Frankfurt School of Finance & Management 93en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordKreditzusagenen_US
dc.subject.keywordinternes Modellen_US
dc.subject.keywordLiquiditätsrisikoen_US
dc.subject.keywordBankenen_US
dc.titleLiquiditätsmodellierung von Kreditzusagen (term facilities and revolver)en_US
dc.typeWorking Paperen_US
dc.identifier.ppn577675451en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:fsfmwp:93-
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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