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

Número: 
560
Publicado: 
Clasificación JEL: 
C12, C41, E44, G21
Palabras clave: 
Credit risk, transition probabilities, hazard functions

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