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

@inproceedings{Castro2014DefaultRI,
  title={Default Risk in Agricultural Lending The Effects of Commodity Price Volatility and Climate},
  author={Carlos Castro and Karen Garcia and Pablo Carrion Florez},
  year={2014}
}
  • 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

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