An alternative methodology for estimating credit quality transition matrices
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Borradores de Economía; No. 478
Date published
2007-12-20
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2007-12-20
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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.
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 study presents an alternative way of estimating credit transition matrices using a hazard function model. The model is useful both for testing the validity of the Markovian assumption, frequently made in credit rating applications, and also for estim
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JEL Codes
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
E44 - Financial Markets and the Macroeconomy
G38 - Corporate Finance and Governance: Government Policy and Regulation
C4 - Econometric and Statistical Methods: Special Topics
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
E44 - Financial Markets and the Macroeconomy
G38 - Corporate Finance and Governance: Government Policy and Regulation
C4 - Econometric and Statistical Methods: Special Topics
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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.
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