An Alternative Methodology for Estimating Credit Quality Transition Matrices
Authors: | Gómez, Jose E. ; Morales, Paola ; Pineda, Fernando ; nzamudgo@banrep.gov.co |
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Institutions: | Banco de la Republica de Colombia |
Subject: | Firms | macroeconomic variables | firm-specific covariates | hazard function | transition intensities |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C4 - Econometric and Statistical Methods: Special Topics ; E44 - Financial Markets and the Macroeconomy ; G21 - Banks; Other Depository Institutions; Mortgages ; G23 - Pension Funds; Other Private Financial Institutions ; G38 - Government Policy and Regulation |
Source: |
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An Alternative Methodology for Estimating Credit Quality Transition Matrices
Gómez, Jose Eduardo, (2007)
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Evidence of non-Markovian behavior in the process of bank rating migrations
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