Borradores de Economia
Número:
448
Publicado:
Clasificación JEL:
C4, E44, G21, G23, G38
Palabras clave:
financial institutions, macroeconomic variables, capitalization, supervision
Lo más reciente
Constanza Martínez-Ventura, Ligia Alba Melo-Becerra
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Leonardo Fabio Morales, Juan Chaparro-Cardona, Eleonora Dávalos, Nataly Corredor-Martinez
This paper estimates transition matrices for the ratings on financial insti-tutions, using an unusually informative data set. We show that the process of rating migration exhibits significant non-Markovian behavior, in the sense that the transition intens