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Credit Risk Migration Experienced By Agricultural Lenders

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

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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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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  1. Gloy, Brent A. & Gunderson, Michael A. & LaDue, Eddy L., 2004. "The Costs and Returns of Agricultural Credit Delivery," Working Papers 127134, Cornell University, Department of Applied Economics and Management.
  2. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
  4. 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.
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