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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