Estimation of conditional time-homogeneous credit quality transition matrices for commercial banks in Colombia

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Borradores de Economía; No. 560
Date published
2009-04-18
Date of last update
2009-04-18
Author
Gómez-González, José Eduardo
Orozco-Hinojosa, Inés Paola
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 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
JEL Codes
E44 - Financial Markets and the MacroeconomyC12 - Hypothesis Testing: GeneralC41 - Duration Analysis; Optimal Timing StrategiesG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Keywords
Credit risk ; Transition probabilities ; Hazard functions ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5577
https://hdl.handle.net/20.500.12134/5577
https://doi.org/10.32468/be.560
https://ideas.repec.org/p/bdr/borrec/560.html
https://ideas.repec.org/p/col/000094/005507.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