Estimation of Conditional Time-Homogeneous Credit Quality Transition Matrices for Commercial Banks in Colombia

Borradores de Economia
Number: 
560
Published: 
Classification JEL: 
C12, C41, E44, G21
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

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Juan Esteban Carranza-Romero, Alejandra González-Ramírez, Mauricio Villamizar-Villegas

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