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Credit Risk Models and Agricultural Lending

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  • Ani L. Katchova
  • Peter J. Barry

Abstract

Credit risk models are developed and used to estimate capital requirements for agricultural lenders under the New Basel Capital Accord. The study uses credit value-at-risk methods to calculate probability of default, loss given default, and expected and unexpected losses. Two applied models, CreditMetrics and Moody's KMV, are estimated using farm financial data. The results show that the necessary capital for agricultural lenders under the New Basel Accord varies substantially depending on the riskiness and granularity of the portfolio. Copyright 2005, Oxford University Press.

Suggested Citation

  • Ani L. Katchova & Peter J. Barry, 2005. "Credit Risk Models and Agricultural Lending," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(1), pages 194-205.
    • Handle: RePEc:oup:ajagec:v:87:y:2005:i:1:p:194-205
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    File URL: http://hdl.handle.net/10.1111/j.0002-9092.2005.00711.x
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