Evidence of non-markovian behavior in the process of bank rating migrations

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dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, José Eduardo
dc.creatorKiefer, Nicholas M.
dc.date.accessioned2007-07-13T08:30:10Zeng
dc.date.available2007-07-13T08:30:10Z
dc.date.created2007-07-13
dc.date.issued2007-07-13
dc.description.abstractThis 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 intenseng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5466spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5466
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.448spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/003961.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 448
dc.relation.numberBorrador 448spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/448.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:col:000094:004016spa
dc.subject.jelE44 - Financial Markets and the Macroeconomyeng
dc.subject.jelspaE44 - Mercados financieros y macroeconomíaspa
dc.subject.keywordFinancial institutionseng
dc.subject.keywordMacroeconomic variableseng
dc.subject.keywordCapitalizationeng
dc.subject.keywordSupervisioneng
dc.subject.keywordTransition intensitieseng
dc.subject.lembInstituciones financieras -- Modelos econométricosspa
dc.subject.lembMercado financiero -- Modelos econométricosspa
dc.subject.lembBancos -- Capitalizaciónspa
dc.titleEvidence of non-markovian behavior in the process of bank rating migrationsspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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