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Markov chain models for farm credit risk migration analysis

Author

Listed:
  • Xiaohui Deng
  • Cesar L. Escalante
  • Peter J. Barry
  • Yingzhuo Yu

Abstract

Keywords: Cohort method, Continuous time models, Credit risk migration, Markov chain process, Semi‐parametric multiplicative hazard model, Time homogeneity, Transition probabilities

Suggested Citation

  • Xiaohui Deng & Cesar L. Escalante & Peter J. Barry & Yingzhuo Yu, 2007. "Markov chain models for farm credit risk migration analysis," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 67(1), pages 99-117, May.
    • Handle: RePEc:eme:afrpps:v:67:y:2007:i:1:p:99-117
    DOI: 10.1108/00214660780001200
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    Citations

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    Cited by:

    1. Pederson, Glenn D. & Chu, Yu-Szu & Richardson, D. Wynn, 2011. "Community Bank Assessment of Agricultural Portfolio Risk Exposure: The Literature and the Methods in Use," Staff Papers 107483, University of Minnesota, Department of Applied Economics.
    2. Li, Xiaofei & Escalante, Cesar L. & Dodson, Charles B., 2015. "A Credit Migration Analysis of the Financial Vitality of Female and Racial Minority Borrowers of the Farm Service Agency under Recessionary Conditions," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205038, Agricultural and Applied Economics Association.

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