EconPapers    
Economics at your fingertips  
 

Valuation of Credit Risk in Agricultural Mortgages

Bruce Sherrick (), Peter J. Barry and Paul N. Ellinger

American Journal of Agricultural Economics, 2000, vol. 82, issue 1, 71-81

Abstract: A credit-risk valuation model is developed and empirically implemented to estimate the cost of insuring against credit risks in pools of agricultural mortgage loans. Probabilistic information about loss distributions across a broad set of loan-level and pool-level characteristics is used to assess insurance valuation and solvency likelihood. The effects on the value of credit-risk insurance of pool size, deductibles, timing alterations, premium loadings, adverse loan selection, and changing underwriting standards are also estimated. Results indicate that actuarial insurance costs are initially highly sensitive and then become relatively insensitive as pool size increases. Copyright 2000, Oxford University Press.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1111/0002-9092.00007 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:82:y:2000:i:1:p:71-81

Access Statistics for this article

American Journal of Agricultural Economics is currently edited by Madhu Khanna, Brian E. Roe, James Vercammen and JunJie Wu

More articles in American Journal of Agricultural Economics from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

 
Page updated 2020-05-16
Handle: RePEc:oup:ajagec:v:82:y:2000:i:1:p:71-81