INVESTMENT RISKS MODELLING IN AGRO-INDUSTRIAL COMPLEX

The agricultural industry has traditionally been considered high-risk by lenders and investors because of risk factors such as adverse weather conditions. However, recent research shows that agricultural lending does not differ from lending to other businesses in terms of default risk, using examples from specific countries and lending institutions. In order to refute or confirm these conclusions in the context of the Russian agribusiness, a model was developed to estimate the probability of default for small and medium-sized agricultural enterprises using annual financial statements data for 2015-2019. The model based on logistic regression showed the result of the AUC ROC metric comparable to its values for the models used in practice when assessing credit risk. The obtained result served as a basis for the adoption of the hypothesis of the comparability of default risk between agricultural and other types of business in relation to Russia. The suggestions for further research into the problem of assessing the credit risk of agricultural enterprises were also formulated.

risk models, default assessment, credit scoring, agriculture