Default Risk in Agricultural Lending The Effects of Commodity Price Volatility and Climate

  title={Default Risk in Agricultural Lending The Effects of Commodity Price Volatility and Climate},
  author={Carlos Castro and Karen Garcia and Pablo Carrion Florez},
  • Carlos Castro, Karen Garcia, Pablo Carrion Florez
  • Published 2014
This paper proposes and estimates a default risk model for agricultural lenders that explicitly accounts for two risks that are endemic to agricultural activities: commodity price volatility and climate. The results indicate that both factors are relevant in explaining the occurrence of default in the portfolio of a rural bank. In addition, the paper illustrates how to integrate the default risk model into standard techniques of portfolio credit risk modeling. The portfolio credit risk model… CONTINUE READING


Publications citing this paper.


Publications referenced by this paper.
Showing 1-10 of 22 references

Confidence Sets for Asset Correlation in Portfolio Credit Risk.

  • C. Castro
  • Revista de Economia del Rosario
  • 2012
3 Excerpts

Risk Management in Agriculture: Toward Market Solutions in the EU.

  • C. Schaffnit-Chatterjee
  • Deutsche Bank Research. Current Issues
  • 2010
2 Excerpts

Assessing Credit Risk in an Agricultural Loan Portfolio.

  • G. Pederson, L Zech
  • Canadian Journal of Agricultural Economics
  • 2009
1 Excerpt

Investing in Agriculture: Far-reaching Challenge, Significant Opportunity

  • B. Kahn, D. Zaks.
  • Frankfort, Germany: Deutsche Bank Climate Change…
  • 2009

An Analysis of Credit Risk Migration Patterns of Agricultural Loans

  • A. Behrens, G. Pederson.
  • Agricultural Finance Review 67: 87–98.
  • 2007

Commodities and Commodity Derivatives

  • H. Geman
  • Modelling and Pricing for Agriculturals, Metals…
  • 2005
1 Excerpt

Credit Risk Models and Agricultural Lending.

  • A. Katchova, P. Barry
  • American Journal of Agricultural Economics
  • 2005
1 Excerpt

Similar Papers

Loading similar papers…