Liquiditätsmodellierung von Kreditzusagen(Term Facilities and Revolver)

This paper discusses the management of loan commitments (“Kreditzusagen“). First, weelaborate on the necessary steps to efficiently manage liquidity facilities. In particular, thedrawdown pattern of single commitments and a portfolio of such commitments have to bemodelled. Based on the drawdown model, internal transfer prices for loan commitments canbe derived. In the context of an industry project, we describe how to set up and to calibratedrawdown models for several types of commitments in practise. We present several modelapproaches, discuss their properties and provide a perspective for further enhancements.