Credit Risk Migration Analysis of Illinois Farm Business: Possible Impacts of Farm Business Cycle
This study uses the cohort approach to estimate the credit risk migration probability of farm business. Using data from the Farm Business and Farm Management, this study rates the credit risk into 10 risk levels plus a default level, defines a farm business cycle with peak, normal and trough periods and evaluates the effect on farm financial performance of the farm business booms and slumps. The results show that the farms with low credit risk are more likely to stay in the same risk level but the farms with high credit risk have the trend to improve their risk situation and move upwards. The results also show that the credit risk ratings are more likely to move upgrade during farm business cycle peaks.
|Date of creation:||2005|
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Center for Financial Institutions Working Papers
00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
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"Stability of ratings transitions,"
Bank of England working papers
133, Bank of England.
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- 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.
- Deng, Xiaohui & Escalante, Cesar L. & Barry, Peter J. & Yu, Yingzhuo, 2004. "Discrete And Continuous Time Models For Farm Credit Migration Analysis," 2004 Annual meeting, August 1-4, Denver, CO 20062, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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- Escalante, Cesar L. & Barry, Peter J. & Park, Timothy A. & Demir, Ebru, 2004. "Farm-Level And Macroeconomic Determinants Of Farm Credit Migration Rates," 2004 Annual meeting, August 1-4, Denver, CO 20227, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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