Borradores de Economia
Número:
448
Publicado:
Clasificación JEL:
C4, E44, G21, G23, G38
Palabras clave:
financial institutions, macroeconomic variables, capitalization, supervision
Lo más reciente
Olga Lucia Acosta Navarro, Andrés Felipe Chitán-Caes, Ana María Iregui-Bohórquez, Ligia Alba Melo-Becerra, María Teresa Ramírez-Giraldo, Jorge Leonardo Rodríguez Arenas
Bernardo Romero-Torres, Gerson Javier Pérez-Valbuena, Andrés Felipe García-Suaza, Jaime Alfredo Bonet-Moron
Alejandro Ome, Laura Giles Álvarez, Gerson Javier Pérez-Valbuena, Cristhian Larrahondo
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