Evidence of non-markovian behavior in the process of bank rating migrations

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Borradores de Economía; No. 448
Date published
2007-07-13
Date of last update
2007-07-13
Author
Gómez-González, José Eduardo
Kiefer, Nicholas M.
Document language
spa
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Las 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.
Abstract
This paper estimates transition matrices for the ratings on financial insti-tutions, using an unusually informative data set. We show that the process of rating migration exhibits significant non-Markovian behavior, in the sense that the transition intens
JEL Codes
G38 - Corporate Finance and Governance: Government Policy and RegulationC4 - Econometric and Statistical Methods: Special TopicsE44 - Financial Markets and the MacroeconomyG21 - Banks; Depository Institutions; Micro Finance Institutions; MortgagesG23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Keywords
Financial institutions ; Macroeconomic variables ; Capitalization ; Supervision ; Transition intensities ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5466
https://hdl.handle.net/20.500.12134/5466
https://doi.org/10.32468/be.448
https://ideas.repec.org/p/bdr/borrec/448.html
https://ideas.repec.org/p/col/000094/004016.html

https://ideas.repec.org/p/col/000094/003961.html
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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