Modeling the Credit Risk in Agricultural Mortgages: A Critical Review of the Farm Credit Administration’s Credit Risk Model for Farmer Mac
AbstractFarmer Mac is the GSE charged with creating a secondary market in loans backed by agricultural real estate. The Farm Credit Administration (FCA) has estimated a credit risk model for agricultural mortgages. This model is a key determinant of Farmer Mac’s risk based capital (RBC) requirement. This paper reviews both the structure of FCA’s credit risk model, and the data used by FCA’s contractors to estimate the model. Serious concerns are raised about both data quality and the econometric specification in use. Under Basle II, RBC models will proliferate. Assessing the validity of credit risk models will become increasingly important.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0409001.
Length: 27 pages
Date of creation: 01 Sep 2004
Date of revision:
Note: Type of Document - pdf; pages: 27
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Basle II; risk based capital; credit risk; agricultural mortgage finance;
Find related papers by JEL classification:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-05 (All new papers)
- NEP-FIN-2004-09-05 (Finance)
- NEP-RMG-2004-09-05 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kerry D. Vandell & Walter Barnes & David Hartzell & Dennis Kraft & William Wendt, 1993. "Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 451-480.
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