Borradores de Economia
Número:
560
Publicado:
Clasificación JEL:
C12, C41, E44, G21
Palabras clave:
Credit risk, transition probabilities, hazard functions
Lo más reciente
Francisco Javier Lasso-Valderrama, Carmiña Ofelia Vargas-Riaño
Anne Brockmeyer, Francois Gerard, Gabriel Ulyssea, Linda Wu, Marcelo Bergolo, Rodrigo Ceni González, Bernard Kirui, Andrea Lopez-Luzuriaga, Leonardo Fabio Morales, Andrea Sofía Otero-Cortés, Nadine Riedel, Matias Tapia, Tanisa Tawichsri, Verena Wiedemann
Marlon Salazar, Andrés Salazar-Mejía, Jorge Daniel Guevara-Acevedo, Juan David Duitama-Correa
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