Guillaume Bagnarosa, Rennes School of Business

17 January 2018

14:00

Louvain-la-Neuve

ISBA - C319

Farmers credit risk modelling under climate uncertainty

Abstract:

We propose in this paper a bottom up model of the credit risk associated to agricultural business taking into consideration the impact of weather conditions on the expected and unexpected losses of a loans portfolio. In order to build and calibrate this model, a large French fertilizer company gives us access to its highly detailed database. Combining these financial and farming data about a set of Romanian farmers with weather and yields information we managed to estimate what we call a local default risk, associated to the region weather conditions uncertainty, and a global default risk, which is rather related to the prices of the internationally traded agricultural commodities.

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