English, Article edition: Assessing Credit Risk in an Agricultural Loan Portfolio Glenn D. Pederson; Lyubov Zech

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Bookmark: http://trove.nla.gov.au/version/108555
Physical Description
  • article
Language
  • English

Edition details

Title
  • Assessing Credit Risk in an Agricultural Loan Portfolio
Author
  • Glenn D. Pederson
  • Lyubov Zech
Physical Description
  • article
Notes
  • "We show that agricultural lenders can implement a credit risk model that uses their loan portfolio data and complies with the new Basel Capital Accord without requiring Merton-type model assumptions about underlying asset price volatility. A credit risk model is described and calibrated to the loan portfolio of a farm lender. The model is used to produce plausible estimates of expected loss, unexpected loss, and credit value-at-risk (VaR) at the portfolio and subportfolio (sector) levels. The lender could use these kinds of estimates to meet regulatory requirements or to adjust the level of capital in response to changing economic conditions." Copyright (c) 2009 Canadian Agricultural Economics Society.
  • RePEc:bla:canjag:v:57:y:2009:i:2:p:169-185
Language
  • English
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