Agricultural Finance Markets in Transition: Credit Risk Models: An Application to Agricultural Lending

Ani Katchova and Peter J. Barry

No 301259, Research Bulletins from Cornell University, Department of Applied Economics and Management

Abstract: Credit risk models are developed and used to estimate capital requirements for agricultural lenders under the New Basel Capital Accord. The theoretical models combine Merton’s distance-to-default approach with credit value-at-risk methodologies. Two applied models, CreditMetrics and KMV, are illustrated using farm financial data. Expected and unexpected losses for a portfolio of farms are calculated using probability of default, loss given default, and portfolio risk measures. The results show that credit quality and correlations among farms play a significant role in risk pricing for agricultural lenders.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 23
Date: 2004-07
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/301259/files/Cornell_Dyson_rb0409-001.pdf (application/pdf)

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:ags:cudarb:301259

DOI: 10.22004/ag.econ.301259

Access Statistics for this paper

More papers in Research Bulletins from Cornell University, Department of Applied Economics and Management Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().