Determining the Probability of Default of Agricultural Loans in a French Bank

Amelie Jouault and Allen Featherstone

No 21376, 2006 Annual meeting, July 23-26, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Recently, financial institutions have developed improved internal risk rating systems and emphasized the probability of default and loss given default. Also they have been affected by globalization and it became important to understand the way foreign banks operate. The probability of default is studied for 756 loans from a French bank: CIC- Banque SNVB. A binomial logit regression is used to estimate a model of the probability of default of an agribusiness loan. The results show that leverage, profitability and liquidity at loan origination are good indicators of the probability of default. The loan length is another good indicator of the probability of default. Also it is more accurate to develop a model for each type of collateral (activity).

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 34
Date: 2006
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Citations: View citations in EconPapers (2)

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Journal Article: Determining the Probability of Default of Agricultural Loans in a French Bank (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea06:21376

DOI: 10.22004/ag.econ.21376

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