An alternative methodology for estimating credit quality transition matrices

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

Detalles Bibliográficos
Autores Principales: Gómez-González, José Eduardo, Morales-Acevedo, Paola, Pineda, Fernando, Zamudio-Gómez, Nancy Eugenia
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2007
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5495