Pederson, Glenn; Sakaimbo, Nicholas - In: Agricultural Finance Review 71 (2011) July, pp. 148-161
) in an agricultural loan portfolio. The analysis employs a simulation model approach to evaluate the role that systematic … role of LGD in the banking industry. A Monte Carlo simulation model is developed using Excel and calibrated to an … agricultural credit association using historical data. The simulation model is used to evaluate the mark-up to economic capital …