Credit Risk Models and Agricultural Lending
AbstractCredit risk models are developed and used to estimate capital requirements for agricultural lenders under the New Basel Capital Accord. The study uses credit value-at-risk methods to calculate probability of default, loss given default, and expected and unexpected losses. Two applied models, CreditMetrics and Moody's KMV, are estimated using farm financial data. The results show that the necessary capital for agricultural lenders under the New Basel Accord varies substantially depending on the riskiness and granularity of the portfolio. Copyright 2005, Oxford University Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Agricultural and Applied Economics Association in its journal American Journal of Agricultural Economics.
Volume (Year): 87 (2005)
Issue (Month): 1 ()
Contact details of provider:
Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Odeh, Oluwarotimi O. & Featherstone, Allen M. & Sanjoy, Das, 2006. "Predicting Credit Default in an Agricultural Bank: Methods and Issues," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35359, Southern Agricultural Economics Association.
- Jan Fałkowski & Pavel Ciaian & d'Artis Kancs, 2009.
"Access to Credit, Factor Allocation and Farm Productivity: Evidence From the CEE Transition Economies,"
2009-12, Faculty of Economic Sciences, University of Warsaw.
- Pavel Ciaian & Jan Falkowski & d'Artis Kancs, 2012. "Access to credit, factor allocation and farm productivity: Evidence from the CEE transition economies," Agricultural Finance Review, Emerald Group Publishing, vol. 72(1), pages 22-47, March.
- Ciaian, Pavel & Falkowski, Jan & Kancs, d'Artis, 2010. "Access to Credit, Factor Allocation and Farm Productivity: Evidence From the CEE Transition Economies," 114th Seminar, April 15-16, 2010, Berlin, Germany 61347, European Association of Agricultural Economists.
- Collier, Benjamin & Katchova, Ani L. & Skees, Jerry R., 2010.
"Loan Portfolio Performance and El Niño, an Intervention Analysis,"
2010 Annual Meeting, February 6-9, 2010, Orlando, Florida
56217, Southern Agricultural Economics Association.
- Benjamin Collier & Ani L. Katchova & Jerry R. Skees, 2011. "Loan portfolio performance and El Niño, an intervention analysis," Agricultural Finance Review, Emerald Group Publishing, vol. 71(1), pages 98-119, May.
- Bandyopadhyay, Arindam, 2007.
"Credit Risk Models for Managing Bank’s Agricultural Loan Portfolio,"
5358, University Library of Munich, Germany.
- Bandyopadhyay, Arindam, 2007. "Credit Risk Models for Managing Bank’s Agricultural Loan Portfolio," MPRA Paper 5357, University Library of Munich, Germany.
- Dressler, Jonathan B. & Stokes, Jeffrey R., 2006. "Mortgage Termination at AgChoice Farm Credit," Proceedings: 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006; Washington, DC 133077, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
- Jouault, Amelie & Featherstone, Allen M., 2006. "Determining the Probability of Default of Agricultural Loans in a French Bank," 2006 Annual meeting, July 23-26, Long Beach, CA 21376, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- 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.
- Katchova, Ani L. & Nam, Sangjeong, 2005. "Credit Risk Migration Analysis Focused on Farm Business Characteristics and Business Cycles," 2005 Annual meeting, July 24-27, Providence, RI 19451, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Zhang, Tianwei & Ellinger, Paul N., 2006. "Credit Risk and Financial Performance Assessment of Illinois Farmers: A Comparison of Approaches with Farm Accounting Data," 2006 Annual meeting, July 23-26, Long Beach, CA 21384, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Benjamin, Olatunbosun, 2012. "Improving credit allocation to sustainable agriculture in Sub-Saharan Africa: Review of bio-based economy benefits," MPRA Paper 41313, University Library of Munich, Germany.
- Harris, James Michael & Blank, Steven C. & Erickson, Kenneth W. & Hallahan, Charles B., 2010. "Off-farm Income and Investments in Farm Assets: A Double Hurdle Approach," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61531, Agricultural and Applied Economics Association.
- Durguner, Seda & Barry, Peter J. & Katchova, Ani L., 2006. "Credit Scoring Models: A Comparison between Crop and Livestock Farms," 2006 Annual meeting, July 23-26, Long Beach, CA 21431, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Harris, James Michael & Dillard, John & Erickson, Kenneth W. & Hallahan, Charles B., 2009. "Changes in Debt Patterns and Financial Structure of Farm Businesses: A Double Hurdle Approach," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49402, Agricultural and Applied Economics Association.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.