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Credit risk migration analysis of farm businesses

Credit risk migration analysis of farm businesses The migration approach to credit risk measurement is based on historic rates of movements of individual loans among the classes of a lenders riskrating or creditscoring system. This article applies the migration concept to farmlevel data from Illinois to estimate migration rates for a farmers credit score and other performance measures under different timeaveraging approaches. Empirical results suggest greater stability in rating migrations for longer timeaveraging periods although less stable than bond migrations, and for the credit score criterion versus ROE and repayment capacity. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Agricultural Finance Review Emerald Publishing

Credit risk migration analysis of farm businesses

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References (9)

Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0002-1466
DOI
10.1108/00214840280001125
Publisher site
See Article on Publisher Site

Abstract

The migration approach to credit risk measurement is based on historic rates of movements of individual loans among the classes of a lenders riskrating or creditscoring system. This article applies the migration concept to farmlevel data from Illinois to estimate migration rates for a farmers credit score and other performance measures under different timeaveraging approaches. Empirical results suggest greater stability in rating migrations for longer timeaveraging periods although less stable than bond migrations, and for the credit score criterion versus ROE and repayment capacity.

Journal

Agricultural Finance ReviewEmerald Publishing

Published: May 5, 2002

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