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An Alternative Methodology for Estimating Credit Quality Transition Matrices

José Eduardo
Gómez-González
Paola
Morales-Acevedo
Fernando
Pineda
Nancy Eugenia
Zamudio-Gómez
Sábado, 1 Diciembre 2007

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

José Eduardo Gómez-González