Valuation of Credit Risk in Agricultural Mortgages
构建并实证了一个信用风险估值模型，用于估算农业抵押贷款组合的保险成本，并分析了组合规模、免赔额等因素对保险价值的影响。
Abstract A credit‐risk valuation model is developed and empirically implemented to estimate the cost of insuring against credit risks in pools of agricultural mortgage loans. Probabilistic information about loss distributions across a broad set of loan‐level and pool‐level characteristics is used to assess insurance valuation and solvency likelihood. The effects on the value of credit‐risk insurance of pool size, deductibles, timing alterations, premium loadings, adverse loan selection, and changing underwriting standards are also estimated. Results indicate that actuarial insurance costs are initially highly sensitive and then become relatively insensitive as pool size increases.