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Farmer Mac is the GSE charged with creating a secondary market in loans backed by agricultural real estate. The Farm Credit Administration (FCA) has estimated a credit risk model for agricultural mortgages. This model is a key determinant of Farmer Mac’s risk based capital (RBC) requirement....
Persistent link: https://www.econbiz.de/10005134719
This paper examines the role and determinants of collateral in emerging markets compared to mature ones. Analyzing a data set of 560 credit files of Thai commercial banks, we find that both the incidence and degree of collateralization are higher there than in developed markets. Thai banks use...
Persistent link: https://www.econbiz.de/10005134744
In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing...
Persistent link: https://www.econbiz.de/10005134803
Romania's integration in the European Union brought about some major changes in our banking system. One of the direct consequences is the fierce competition between banks for supremacy on the market. According to this, the Romanian banks saw in the SMEs sector a true potential for reaching their...
Persistent link: https://www.econbiz.de/10004995282
Persistent link: https://www.econbiz.de/10004998280
Persistent link: https://www.econbiz.de/10004999600
The purpose of this lecture is to look beyond the complex events that characterize the global financial and economic crisis, identify the basic mechanisms, and infer the policies needed to resolve the current crisis, as well as the policies needed to reduce the probability of similar events in...
Persistent link: https://www.econbiz.de/10004999966
The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and Moody’s publicly available rating histories to...
Persistent link: https://www.econbiz.de/10005001396
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...
Persistent link: https://www.econbiz.de/10005002780
Agricultural credit risk migration is examined using loan records gathered from four agricultural lenders. Results indicate that lender risk ratings are much more stable than ratings based on credit scores estimated from financial statements, highlighting the importance played by nonfinancial...
Persistent link: https://www.econbiz.de/10005007752