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Frankfurt School of Finance and Management, Frankfurt a. M. >
Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27859
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Heidorn, Thomas | | en_US |
| dc.contributor.author | | Schmaltz, Christian | | en_US |
| dc.contributor.author | | Kunze, Wolfgang | | en_US |
| dc.date.accessioned | | 2009-01-30 | | en_US |
| dc.date.accessioned | | 2009-09-10T13:54:11Z | | - |
| dc.date.available | | 2009-09-10T13:54:11Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.pi | | urn:nbn:de:101:1-2008082987 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/27859 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | ger | | en_US |
| dc.publisher | | Frankfurt School of Finance & Management Frankfurt a. M. | | en_US |
| dc.relation.ispartofseries | | Working paper series // Frankfurt School of Finance & Management 93 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Kreditzusagen | | en_US |
| dc.subject.keyword | | internes Modell | | en_US |
| dc.subject.keyword | | Liquiditätsrisiko | | en_US |
| dc.subject.keyword | | Banken | | en_US |
| dc.title | | Liquiditätsmodellierung von Kreditzusagen (term facilities and revolver) | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 577675451 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:fsfmwp:93 | | - |
| Appears in Collections: | | Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
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