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
Autores Principales: | , , , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Banco de la República
2007
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Materias: | |
Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/5495 |