scholarly journals EAD Calibration for Corporate Credit Lines

2009 ◽  
pp. 1.000-51.000 ◽  
Author(s):  
Gabriel Jiménez ◽  
◽  
Jose A. Lopez ◽  
Jesús Saurina ◽  
◽  
...  
Keyword(s):  
Credit Lines ◽  
Corporate Credit

scholarly journals Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities

2017 ◽  
pp. 14-21
Author(s):  
I. Voloshyn
Keyword(s):  
Probability Distribution ◽  
Normal Distribution ◽  
Risk Measures ◽  
Bivariate Normal Distribution ◽  
Utilization Rate ◽  
Bivariate Normal ◽  
Credit Lines ◽  
Corporate Credit ◽  
Bivariate Probability ◽  
Future Utilization

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.

scholarly journals Empirical Analysis of Corporate Credit Lines

2009 ◽  
Vol 22 (12) ◽  
pp. 5069-5098 ◽  
Author(s):  
Gabriel Jiménez ◽  
Jose A. Lopez ◽  
Jesús Saurina
Keyword(s):  
Empirical Analysis ◽  
Credit Lines ◽  
Corporate Credit

scholarly journals Empirical Analysis of Corporate Credit Lines

2007 ◽  
Author(s):  
Jesus Saurina Salas ◽  
Gabriel Jiménez ◽  
Jose A. Lopez
Keyword(s):  
Empirical Analysis ◽  
Credit Lines ◽  
Corporate Credit

scholarly journals Empirical Analysis of Corporate Credit Lines

2007 ◽  
pp. 1.000-36.000 ◽  
Author(s):  
Gabriel Jiménez ◽  
◽  
Jose A. Lopez ◽  
Jesús Saurina ◽  
◽  
...  
Keyword(s):  
Empirical Analysis ◽  
Credit Lines ◽  
Corporate Credit

Usage and exposures at default of corporate credit lines: an empirical study

2014 ◽  
Vol 10 (1) ◽  
pp. 65-86 ◽  
Author(s):  
Janet Yinqing Zhao ◽  
Douglas W. Dwyer ◽  
Jing Zhang
Keyword(s):  
Empirical Study ◽  
Credit Lines ◽  
Corporate Credit

scholarly journals Empirical Analysis of Corporate Credit Lines

2008 ◽  
Author(s):  
Gabriel Jiménez ◽  
Jose A. Lopez ◽  
Jesus Saurina Salas
Keyword(s):  
Empirical Analysis ◽  
Credit Lines ◽  
Corporate Credit
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