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

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dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, José Eduardo
dc.creatorOrozco-Hinojosa, Inés Paola
dc.date.accessioned2009-04-18T08:30:10Zeng
dc.date.available2009-04-18T08:30:10Z
dc.date.created2009-04-18
dc.date.issued2009-04-18
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 eteng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5577spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5577
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.560spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/005507.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 560
dc.relation.numberBorrador 560spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/560.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:560spa
dc.subject.jelC41 - Duration Analysis; Optimal Timing Strategieseng
dc.subject.jelspaE44 - Mercados financieros y macroeconomíaspa
dc.subject.keywordCredit riskeng
dc.subject.keywordTransition probabilitieseng
dc.subject.keywordHazard functionseng
dc.subject.lembPréstamos bancarios -- Colombiaspa
dc.subject.lembBancos comerciales -- Colombiaspa
dc.subject.lembRiesgo cambiario -- Colombiaspa
dc.subject.lembPréstamos bancarios -- Colombia -- Matricesspa
dc.titleEstimation of conditional time-homogeneous credit quality transition matrices for commercial banks in Colombiaspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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