To read the full version of this content please select one of the options below:

Application of credit risk models to agricultural lending

Agricultural Finance Review

ISSN: 0002-1466

Article publication date: 1 November 2004

Abstract

A credit risk model suitable for agricultural lenders is identified. The model incorporates sector correlations and is applied to the loan portfolio of an agricultural credit association to create a distribution of loan losses. The distribution is used to derive the lender’s expected and unexpected losses. Results of the analysis indicate that the association is more than adequately capitalized based on 1997S2002 data. Since the capital position of the association is lower than that of most other associations in the Farm Credit System, this raises the issue of overcapitalization in the System.

Keywords

Citation

Zech, L. and Pederson, G. (2004), "Application of credit risk models to agricultural lending", Agricultural Finance Review, Vol. 64 No. 2, pp. 91-106. https://doi.org/10.1108/00214660480001156

Publisher

:

Emerald Group Publishing Limited

Copyright © 2004, Emerald Group Publishing Limited