Measurement of Farm Credit Risk: SUR Model and Simulation Approach
نویسندگان
چکیده
The study addresses problems in measuring credit risk under the structure model, and then proposes a seemingly unrelated regression model (SUR) to predict farms’ ability in meeting their current and anticipated obligations in the next 12 months. The empirical model accounts for both the dependence structure and the dynamic feature of the structure model, and is used for estimating asset correlation using FBFM data for 1995-2004. Farm risk is then predicted by copula based simulation process with historical default rates as benchmark. Results are reported and compared to previous studies on farm default. Keyword: Credit Risk Measurement, Seemingly Unrelated Regression Model, Simulation
منابع مشابه
Empirical Analysis of Farm Credit Risk under the Structure Model By
The study measures farm credit risk by using farm records collected by Farm Business Farm Management (FBFM) during the period 1995-2004. The study addresses the following questions: 1) whether farm " s financial position is fully described by the structure model, 2) what are the determinants of farm capital structure under the structure model, 3) how to estimate and test farm asset correlation,...
متن کاملCredit Risk Measurement of Trusted Customers Using Logistic Regression and Neural Networks
The issue of credit risk and deferred bank claims is one of the sensitive issues of banking industry, which can be considered as the main cause of bank failures. In recent years, the economic slowdown accompanied by inflation in Iran has led to an increase in deferred bank claims that could put the country's banking system in serious trouble. Accordingly, the current paper presents a prediction...
متن کاملThe Resilience of the Iranian Banking System to Macro Shocks with an Emphasis on Credit Risk
In this paper, we present the macro stress test with a credit risk approach for banking system of Iran during the period 2004Q1-2019Q4. The goal is to evaluate the vulnerability of the banking system through credit risk to the country economic shocks. In this regard, the developed method of Wilson (1997) Credit Portfolio View model including macroeconomic variables and default rate has been use...
متن کاملCredit Risk Predictive Ability of G-ZPP Model Versus V-ZPP Model
Credit risk management is becoming more and more important in recent years. When a company deals with a financial problem, it may not be able to fulfill its financial obligations, which can cause direct and indirect financial losses to shareholders, creditors, investors and other people in the community. Advanced credit risk models that are based on market value include improving credit quality...
متن کاملModeling the operational risk in Iranian commercial banks: case study of a private bank
The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and ...
متن کامل