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
Download document

The most recent

Impact of demographic change on CO₂ emissions: the role of consumption
Jhorland Ayala-García, Jaime Alfredo Bonet-Moron, Eduardo A. Haddad, Inácio F. Araújo
Remittances, growth and regional economic convergence: evidence from Colombian departments
Clark Granger, Jhorland Ayala-García, Fabio Montenegro Aparicio
Adaptation to Broken Mitigation: Social and Economic Impacts of Solar Mini-Grid Electrification in Colombian Island
Hans-Erik Edsand, Andrés Aleán-Romero, Jhorland Ayala-García, Tania Jiménez Castilla, Sandra C. Valencia

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