Credit Risk Models and Agricultural Lending
开发信用风险模型，用农业贷款数据估算巴塞尔新协议下的资本要求，发现所需资本因贷款组合的风险和分散程度而差异很大。
Abstract Credit risk models are developed and used to estimate capital requirements for agricultural lenders under the New Basel Capital Accord. The study uses credit value‐at‐risk methods to calculate probability of default, loss given default, and expected and unexpected losses. Two applied models, CreditMetrics and Moody's KMV, are estimated using farm financial data. The results show that the necessary capital for agricultural lenders under the New Basel Accord varies substantially depending on the riskiness and granularity of the portfolio.