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An analysis of credit risk migration patterns of agricultural loans

An analysis of credit risk migration patterns of agricultural loans Loan migration analysis is conducted using a large data set of loan risk ratings in the Farm Credit System. We find path dependence and limited support for a trend reversal pattern. There is evidence that the magnitude of migrations reported in previous credit score proxy studies overstates trend reversal in agricultural loans rated by lenders. Our results indicate that retention rates of agricultural loan risk ratings are quite high. Small loans are less likely to migrate than medium and largesized loans, and unseasoned loans are more likely to migrate than seasoned farm loans http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Agricultural Finance Review Emerald Publishing

An analysis of credit risk migration patterns of agricultural loans

Agricultural Finance Review , Volume 67 (1): 12 – May 5, 2007

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0002-1466
DOI
10.1108/00214660780001199
Publisher site
See Article on Publisher Site

Abstract

Loan migration analysis is conducted using a large data set of loan risk ratings in the Farm Credit System. We find path dependence and limited support for a trend reversal pattern. There is evidence that the magnitude of migrations reported in previous credit score proxy studies overstates trend reversal in agricultural loans rated by lenders. Our results indicate that retention rates of agricultural loan risk ratings are quite high. Small loans are less likely to migrate than medium and largesized loans, and unseasoned loans are more likely to migrate than seasoned farm loans

Journal

Agricultural Finance ReviewEmerald Publishing

Published: May 5, 2007

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