An Alternative Methodology for Estimating Credit Quality Transition Matrices

Borradores de Economia
Number: 
478
Published: 
Classification JEL: 
C4, E44, G21, G23, G38
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
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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