| Autor: |
Nicholas K. Sakaimbo, Glenn D. Pederson |
| Rok vydání: |
2011 |
| Předmět: |
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| Zdroj: |
Agricultural Finance Review. 71:148-161 |
| ISSN: |
0002-1466 |
| DOI: |
10.1108/00021461111152546 |
| Popis: |
Purpose – The purpose of this paper is to investigate the relationship between loan default and loss given default (LGD) in an agricultural loan portfolio. The analysis employs a simulation model approach to evaluate the role that systematic and non‐systematic risks play in determining the economic capital requirements under different agricultural economic conditions.Design/methodology/approach – The authors employ the theoretical approach suggested by Miu and Ozdemir to assess the 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 that is implied by increasing credit risks due to cyclical changes in farm real estate values.Findings – The paper demonstrates that historical systematic risks due to the correlation between probability of default (PD) and LGD through the business cycle can result in a significant mark‐up ... |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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