Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/27859 
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dc.contributor.authorHeidorn, Thomasen
dc.contributor.authorSchmaltz, Christianen
dc.contributor.authorKunze, Wolfgangen
dc.date.accessioned2009-01-30-
dc.date.accessioned2009-09-10T13:54:11Z-
dc.date.available2009-09-10T13:54:11Z-
dc.date.issued2008-
dc.identifier.piurn:nbn:de:101:1-2008082987en
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
dc.language.isogeren
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt a. M.en
dc.relation.ispartofseries|aFrankfurt School - Working Paper Series |x93en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordKreditzusagenen
dc.subject.keywordinternes Modellen
dc.subject.keywordLiquiditätsrisikoen
dc.subject.keywordBankenen
dc.titleLiquiditätsmodellierung von Kreditzusagen (term facilities and revolver)-
dc.typeWorking Paperen
dc.identifier.ppn577675451en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:fsfmwp:93en

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