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dc.creatorGómez-González, José Eduardo
dc.creatorOrozco-Hinojosa, Inés Paola
dc.date.created2009-04-18
dc.date.issued2009-04-18
dc.identifier.urihttp://repositorio.banrep.gov.co/handle/20.500.12134/5577
dc.description.abstractThis paper presents an estimation of credit quality transition matrices for commercial banks in Colombia, using a duration hazard function model, and following the methodology proposed by Gómez-González et al (2009). Using a test developed by Weißbach et
dc.format.mimetypePDF
dc.language.isospa
dc.publisherBanco de la República
dc.relation.ispartofDocumentos de Trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 560
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.titleEstimation of conditional time-homogeneous credit quality transition matrices for commercial banks in Colombia
dc.typeWorking Paper
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
dc.subject.jelE44 - Financial Markets and the Macroeconomy
dc.subject.jelC41 - Duration Analysis; Optimal Timing Strategies
dc.subject.jelC12 - Hypothesis Testing: General
dc.subject.keywordCredit risk
dc.subject.keywordTransition probabilities
dc.subject.keywordHazard functions
dc.subject.lembPréstamos bancarios -- Colombia
dc.subject.lembBancos comerciales -- Colombia
dc.subject.lembRiesgo cambiario -- Colombia
dc.subject.lembPréstamos bancarios -- Colombia -- Matrices
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC41 - Análisis de duración; Estrategias de momento óptimo
dc.subject.jelspaE44 - Mercados financieros y macroeconomía
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas
dc.subject.jelspaC12 - Contraste de hipótesis: generalidades
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.relation.doihttps://doi.org/10.32468/be.560
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.numberBorrador 560
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/560.html
dc.relation.dotechttps://ideas.repec.org/p/col/000094/005507.html
dc.identifier.handlehttp://hdl.handle.net/20.500.12134/5577
dc.source.handleRepecRePEc:bdr:borrec:560


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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit