Determining the Probability of Default and Risk-Rating Class for Loans in the Seventh Farm Credit District Portfolio
AbstractCredit risk is the primary risk facing financial institutions. With the proposed guidelines under the New Basel Accord, financial institutions will benefit from better assessing their risks. The probability of default (PD) and risk-rating class is studied for 157,853 loans in the Seventh Farm Credit District Portfolio. Repayment capacity, owner equity, and working capital origination loans are important determinants of the PD. Standard & Poor's (S&P) reported probabilities of default were used to classify each of the loans into a risk-rating class. The average predicted PD is 1.61%, which would fall into the BB— S&P class. Copyright 2006, 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 Review of Agricultural Economics.
Volume (Year): 28 (2006)
Issue (Month): 1 ()
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Phone: (414) 918-3190
Fax: 01865 267 985
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.
- Allen M. Featherstone & Christine A. Wilson & Terry L. Kastens & John D. Jones, 2007.
"Factors affecting the agricultural loan decision-making process,"
Agricultural Finance Review,
Emerald Group Publishing, vol. 67(1), pages 13-33, May.
- Featherstone, Allen M. & Wilson, Christine A. & Kastens, Terry L. & Jones, John D., 2005. "Factors Affecting the Agricultural Loan Decision-Making Process," Proceedings: 2005 Agricultural and Rural Finance Markets in Transition,October 3-4, 2005; Minneapolis, Minnesota 132749, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
- Jarko Fidrmuc & Pavel Ciaian & d'Artis Kancs & Jan Pokrivcak, 2011.
"Credit Constraints, Heterogeneous Firms and Loan Defaults,"
EERI Research Paper Series
EERI_RP_2011_17, Economics and Econometrics Research Institute (EERI), Brussels.
- Jarko Fidrmuc & Pavel Ciaian & d'Artis Kancs & Jan Pokrivcak, 2013. "Credit Constraints, Heterogeneous Firms and Loan Defaults," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 53-68, May.
- Jonathan B. Dressler & Jeffrey R. Stokes, 2010. "Survival analysis and mortgage termination at AgChoice ACA," Agricultural Finance Review, Emerald Group Publishing, vol. 70(1), pages 21-36, May.
- 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).
- 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.
- 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).
- Brian C. Briggeman, 2011. "The importance of off-farm income to servicing farm debt," Economic Review, Federal Reserve Bank of Kansas City, issue Q I.
- Featherstone, Allen M. & Langemeier, Michael R. & Haverkamp, Kent, 2006. "Credit Quality of Kansas Farms," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35309, Southern Agricultural 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 references are entirely missing, you can add them using this form.