Some past studies of credit risk ratings migration have found trend reversals and evidence that the data generating process is non-stationary. Using a sample of FCS mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of loans may be...

Mortgage termination is important when considering risk management at financial institutions and can generally be of two types: default and prepayment. Data consisting of 1,060 fixed rate mortgages collateralized by farm real estate to dairy producers made by AgChoice ACA from January 1, 2001...

Purpose – This paper aims to identify factors that affect agricultural mortgage default and prepayment. Design/methodology/approach – Using a sample of farm credit system loans, prepayment and default are modeled as competing risks with potentially non‐stationary covariates using a...

Some past studies of credit risk ratings migration have found trend reversals and evidence that the data-generating process is nonstationary. Using a sample of Farm Credit System mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of...

Some past studies of credit risk ratings migration have found trend reversals and evidence that the data‐generating process is nonstationary. Using a sample of Farm Credit System mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of...