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Credit Risk Migration Experienced By Agricultural Lenders

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Author Info

  • Gloy, Brent A.
  • LaDue, Eddy L.
  • Gunderson, Michael A.

Abstract

Loan records and lender credit risk classifications are used to examine agricultural credit risk migration. The results include estimates of the likelihood of borrowers transitioning among five credit risk tiers. The paper also examines factors that influence or predict credit risk migration and its impact on loan pricing.

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File URL: http://purl.umn.edu/127147
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Bibliographic Info

Paper provided by Cornell University, Department of Applied Economics and Management in its series Working Papers with number 127147.

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Date of creation: May 2004
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Handle: RePEc:ags:cudawp:127147

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Related research

Keywords: credit risk; agricultural lending; credit risk migration; credit quality; Agricultural Finance; Risk and Uncertainty;

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References

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  1. Brent A. Gloy & Michael A. Gunderson & Eddy L. LaDue, 2005. "The Costs and Returns of Agricultural Credit Delivery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(3), pages 703-716.
  2. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
  3. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
  4. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
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