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Credit Risk Migration Experienced By Agricultural Lenders

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  • Gloy, Brent A.
  • LaDue, Eddy L.
  • Gunderson, Michael A.

Abstract

Loan records and lender credit risk classifications are used to examine agricultural credit risk migration. The results include estimates of the likelihood of borrowers transitioning among five credit risk tiers. The paper also examines factors that influence or predict credit risk migration and its impact on loan pricing.

Suggested Citation

  • Gloy, Brent A. & LaDue, Eddy L. & Gunderson, Michael A., 2004. "Credit Risk Migration Experienced By Agricultural Lenders," 2004 Annual meeting, August 1-4, Denver, CO 19944, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea04:19944
    DOI: 10.22004/ag.econ.19944
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    References listed on IDEAS

    as
    1. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
    2. Brent A. Gloy & Michael A. Gunderson & Eddy L. LaDue, 2005. "The Costs and Returns of Agricultural Credit Delivery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(3), pages 703-716.
    3. Gloy, Brent A. & Hyde, Jeffrey & LaDue, Eddy L., 2002. "Dairy Farm Management and Long-Term Farm Financial Performance," Agricultural and Resource Economics Review, Cambridge University Press, vol. 31(2), pages 233-247, October.
    4. Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002. "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 445-474, March.
    5. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
    6. Gloy, Brent A. & Hyde, Jeffrey & LaDue, Eddy L., 2002. "Dairy Farm Management and Long-Term Farm Financial Performance," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 31(2), pages 1-15, October.
    7. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    8. Novak, Michael P. & LaDue, Eddy L., 1999. "Application Of Recursive Partitioning To Agricultural Credit Scoring," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(01), pages 1-14, April.
    9. Novak, Michael P. & LaDue, Eddy, 1999. "Application of Recursive Partitioning to Agricultural Credit Scoring," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 31(1), pages 109-122, April.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Agricultural Finance;

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