Credit risk rating migration and unobserved borrower heterogeneity

Some past studies of credit risk ratings migration have found trend reversals and evidence that the data-generating process is nonstationary. Using a sample of Farm Credit System mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of loans...

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Veröffentlicht in:	Agricultural finance review 2008-11, Vol.68 (2), p.237-253
Hauptverfasser:	Stokes, Jeffrey R., Dressler, Jonathan B., Balasubramanyan, Lakshmi
Format:	Artikel
Sprache:	eng
Schlagworte:	Agricultural credit borrowers credit Credit risk credit risk rating credit risk rating migration data analysis econometric models farm credit Farm Credit System Heterogeneity loans Markov chain Maximum entropy Migration mortgages risk assessment Risk ratings
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