Borradores de Economia
Número:
448
Publicado:
Clasificación JEL:
C4, E44, G21, G23, G38
Palabras clave:
financial institutions, macroeconomic variables, capitalization, supervision
Lo más reciente
Rocío Clara Alexandra Mora-Quiñones, Antonio José Orozco-Gallo, Dora Alicia Mora-Pérez
Constanza Martínez-Ventura, Ligia Alba Melo-Becerra
Leonardo Fabio Morales, Leonardo Bonilla-Mejía, Didier Hermida-Giraldo, Francisco Javier Lasso-Valderrama, José Pulido
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