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Evidence of non-Markovian behavior in the process of bank rating migrations

José Eduardo
Gómez-González
Nicholas M.
Kiefer
Domingo, 1 Julio 2007

This paper estimates transition matrices for the ratings on financial insti-tutions, using an unusually informative data set. We show that the process of rating migration exhibits significant non-Markovian behavior, in the sense that the transition intens