Credit Risk Models and Agricultural Lending
2005
Katchova, Ani L. | Barry, Peter J.
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.
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书目信息
出版者
Springer India
其它主题
Laws and regulations; Model validation; Farm business debt
语言
英语
注释
Journal article
类型
Journal Article; Text
2024-02-27
MODS