Measurement of Farm Credit Risk: SUR Model and Simulation Approach
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- Paolo Guarda & Abdelaziz Rouabah & John Theal, 2011. "An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests," BCL working papers 63, Central Bank of Luxembourg.
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KeywordsCredit Risk Measurement; Seemingly Unrelated Regression Model; Simulation; Agribusiness; Agricultural Finance; Farm Management; Research Methods/ Statistical Methods; Risk and Uncertainty;
NEP fieldsThis 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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