Measurement of Farm Credit Risk: SUR Model and Simulation Approach
AbstractThe study addresses problems in measuring credit risk under the structure model, and then proposes a seemingly unrelated regression model (SUR) to predict farms’ ability in meeting their current and anticipated obligations in the next 12 months. The empirical model accounts for both the dependence structure and the dynamic feature of the structure model, and is used for estimating asset correlation using FBFM data for 1995-2004. Farm credit risk is then predicted by copula based simulation process with historical default rates as benchmark. Results are reported and compared to previous studies on farm default.
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Bibliographic InfoPaper provided by Agricultural and Applied Economics Association in its series 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin with number 49222.
Date of creation: 2009
Date of revision:
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Credit Risk Measurement; Seemingly Unrelated Regression Model; Simulation; Agribusiness; Agricultural Finance; Farm Management; Research Methods/ Statistical Methods; Risk and Uncertainty;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-16 (All new papers)
- NEP-CFN-2009-05-16 (Corporate Finance)
- NEP-CMP-2009-05-16 (Computational Economics)
- NEP-RMG-2009-05-16 (Risk Management)
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