English, Article edition: Markov chain models for farm credit risk migration analysis Xiaohui Deng; Cesar L. Escalante; Peter J. Barry; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/22368
Physical Description
  • article
Language
  • English

Edition details

Title
  • Markov chain models for farm credit risk migration analysis
Author
  • Xiaohui Deng
  • Cesar L. Escalante
  • Peter J. Barry
  • Yingzhuo Yu
Physical Description
  • article
Notes
  • This study introduces two Markov chain time approaches, time-homogeneous and nonhomogeneous models, for analyzing farm credit risk migration as alternatives to the traditional discrete-time (cohort) method. The Markov chain models are found to produce more accurate, reliable transition probability rates using the 3 x 1 migration measurement method used by farm lenders. Compared to corporate bond ratings migration results, this study obtained larger mean differences in singular value decomposition between the cohort matrix and each of the Markov chain matrices. This finding suggests that the omission of transient, indirect migration activities under the cohort method is more costly when applied to farm credit analysis. This discrepancy could lead to understated transition probability estimates which, in turn, could produce misleading indicators of farm loan portfolio quality.
  • Cohort method, Continuous time models, Credit risk migration, Markov chain process, Semi-parametric multiplicative hazard model, Time homogeneity, Transition probabilities
  • RePEc:eme:afrpps:v:67:y:2007:i:1:p:99-117
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment