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

2007-07-13

Authors

Gómez-González, José Eduardo
Kiefer, Nicholas M.

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ISBN

Document language

spa
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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 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

Description

JEL Codes

G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages

Temática

Keywords

Keywords

Financial institutions , Macroeconomic variables , Capitalization , Supervision , Transition intensities

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5466
 https://hdl.handle.net/20.500.12134/5466
 https://ideas.repec.org/p/bdr/borrec/448.html
 https://doi.org/10.32468/be.448

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