Estimation of conditional time-homogeneous credit quality transition matrices for commercial banks in Colombia

This paper presents an estimation of credit quality transition matrices for commercial banks in Colombia, using a duration hazard function model, and following the methodology proposed by Gómez-González et al (2009). Using a test developed by Weißbach et

Detalles Bibliográficos
Autores Principales: Gómez-González, José Eduardo, Orozco-Hinojosa, Inés Paola
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2009
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5577