Abstract
The migration approach to credit risk measurement is based on historic rates of movements of individual loans among the classes of a lender’s risk-rating or creditscoring system. This article applies the migration concept to farm-level data from Illinois to estimate migration rates for a farmer’s credit score and other performance measures under different time-averaging approaches. Empirical results suggest greater stability in rating migrations for longer time-averaging periods (although less stable than bond migrations), and for the credit score criterion versus ROE and repayment capacity.
Original language | English (US) |
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Pages (from-to) | 1-11 |
Number of pages | 11 |
Journal | Agricultural Finance Review |
Volume | 62 |
Issue number | 1 |
DOIs | |
State | Published - May 5 2002 |
Externally published | Yes |
Keywords
- Credit risk
- Credit scoring
- Migration
- Transition probabilities
ASJC Scopus subject areas
- Agricultural and Biological Sciences (miscellaneous)
- Economics, Econometrics and Finance (miscellaneous)