An alternative methodology for estimating credit quality transition matrices
Borradores de Economía; No. 478
Date published
2007-12-20Date of last update
2007-12-20Document language
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Abstract
This study presents an alternative way of estimating credit transition matrices using a hazard function model. The model is useful both for testing the validity of the Markovian assumption, frequently made in credit rating applications, and also for estim
JEL Codes
G21 - Banks; Depository Institutions; Micro Finance Institutions; MortgagesG23 - Non-bank Financial Institutions; Financial Instruments; Institutional InvestorsE44 - Financial Markets and the MacroeconomyG38 - Corporate Finance and Governance: Government Policy and RegulationC4 - Econometric and Statistical Methods: Special Topics
Keywords
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5495https://hdl.handle.net/20.500.12134/5495
https://doi.org/10.32468/be.478
https://ideas.repec.org/p/bdr/borrec/478.html
https://ideas.repec.org/p/col/000094/004395.html
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