Borradores de Economia
Número:
560
Publicado:
Clasificación JEL:
C12, C41, E44, G21
Palabras clave:
Credit risk, transition probabilities, hazard functions
Lo más reciente
Leonardo Fabio Morales, Leonardo Bonilla-Mejía, Didier Hermida-Giraldo, Francisco Javier Lasso-Valderrama, José Pulido
Leonardo Fabio Morales, Juan Chaparro-Cardona, Eleonora Dávalos, Nataly Corredor-Martinez
Oscar Botero-Ramírez, Andrés Murcia, Hernando Vargas-Herrera
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