Credit risk migration analysis of farm businesses

Peter J. Barry, Cesar L. Escalante, Paul N. Ellinger

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)1-11
Number of pages11
JournalAgricultural Finance Review
Volume62
Issue number1
DOIs
StatePublished - May 5 2002
Externally publishedYes

Keywords

  • Credit risk
  • Credit scoring
  • Migration
  • Transition probabilities

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics, Econometrics and Finance (miscellaneous)

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