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

Gómez-González, José Eduardo; Orozco-Hinojosa, Inés Paola

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

Download

Borradores de Economía; No. 560

Date published

2009-04-18

Date

2009-04-18

Authors

Gómez-González, José Eduardo
Orozco-Hinojosa, Inés Paola

Document language

spa

Metrics

downloads: 0

abstract_views: 0

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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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