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Measurement of Farm Credit Risk: SUR Model and Simulation Approach

Yan Yan, Peter J. Barry, Nicholas Paulson and Gary Schnitkey ()

No 49222, 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin from Agricultural and Applied Economics Association

Abstract: The study addresses problems in measuring credit risk under the structure model, and then proposes a seemingly unrelated regression model (SUR) to predict farms’ ability in meeting their current and anticipated obligations in the next 12 months. The empirical model accounts for both the dependence structure and the dynamic feature of the structure model, and is used for estimating asset correlation using FBFM data for 1995-2004. Farm credit risk is then predicted by copula based simulation process with historical default rates as benchmark. Results are reported and compared to previous studies on farm default.

Keywords: Agribusiness; Agricultural Finance; Farm Management; Research Methods/ Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 37
Date: 2009
New Economics Papers: this item is included in nep-cfn, nep-cmp and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea09:49222

DOI: 10.22004/ag.econ.49222

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