Credit risk models are developed and used to estimate capital requirements for agricultural lenders under the New Basel Capital Accord. The theoretical models combine Merton’s distance-to-default approach with credit value-at-risk methodologies. Two applied models, CreditMetrics and KMV, are...

This study utilizes comparisons and Probit regression analysis to determine the influence of previous migrations and other variables on the likelihood of future migrations of agricultural loan credit risk. The Farm Credit System association data set contains a large number of lender risk-rated...