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Estimating delinquency migration and the probability of default from aggregate data

Author

Listed:
  • Jeffrey R. Stokes
  • Brent A. Gloy

Abstract

Keywords: Delinquency, Markov chain, Maximum entropy, Probability of default

Suggested Citation

  • Jeffrey R. Stokes & Brent A. Gloy, 2007. "Estimating delinquency migration and the probability of default from aggregate data," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 67(1), pages 75-85, May.
    • Handle: RePEc:eme:afrpps:v:67:y:2007:i:1:p:75-85
    DOI: 10.1108/00214660780001198
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    Citations

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    Cited by:

    1. Bruce L. Dixon & Bruce L. Ahrendsen & Brandon R. McFadden & Diana M. Danforth & Monica Foianini & Sandra J. Hamm, 2011. "Competing risks models of Farm Service Agency seven‐year direct operating loans," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 5-24, May.
    2. Pederson, Glenn D. & Chu, Yu-Szu & Richardson, D. Wynn, 2011. "Community Bank Assessment of Agricultural Portfolio Risk Exposure: The Literature and the Methods in Use," Staff Papers 107483, University of Minnesota, Department of Applied Economics.
    3. Jonathan B. Dressler & Jeffrey R. Stokes, 2010. "Survival analysis and mortgage termination at AgChoice ACA," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(1), pages 21-36, May.

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