An Alternative Methodology for Estimating Credit Quality Transition Matrices

Citation data:

BANCO DE LA REPÚBLICA, BORRADORES DE ECONOMIA, No: 004395

Publication Year:
2007
Usage 983
Abstract Views 714
Downloads 269
Citations 1
Citation Indexes 1
Repository URL:
http://repositorio.banrep.gov.co/handle/20.500.12134/5495
RePec URLs:
https://ideas.repec.org/p/col/000094/004395.html; https://ideas.repec.org/p/bdr/borrec/478.html
Author(s):
Gómez-González, José Eduardo; Morales-Acevedo, Paola; Pineda, Fernando; Zamudio-Gómez, Nancy Eugenia
Publisher(s):
Banco de la República
Tags:
C4 - Econometric and Statistical Methods: Special Topics; E44 - Financial Markets and the Macroeconomy; G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages; G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors; G38 - Corporate Finance and Governance: Government Policy and Regulation; Firms; Macroeconomic variables; Firm-specific covariates; Hazard function; Transition intensities.; Crédito -- Modelos econométricos; Préstamos bancarios -- Modelos econométricos; G38 - Gobierno y financiación de la empresa: Política pública y regulación; C4 - Métodos econométricos y estadísticos: temas especiales; E44 - Mercados financieros y macroeconomía; G21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas; G23 - Instituciones financieras (excepto bancos); Instrumentos financieros; Inversores institucionales; Firms; macroeconomic variables; ...rm-speci...c covariates; hazardfunction; transition intensities.; Firms; macroeconomic variables; firm-specific covariates; hazard function; transition intensities.
paper description
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