Número:
560
Publicado:
Clasificación JEL:
C12, C41, E44, G21
Palabras clave:
Credit risk, transition probabilities, hazard functions
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Julián Arteaga, Nicolás de Roux, Heitor S. Pellegrina, Margarita María Gáfaro-González, Julián Arteaga, Ana María Ibáñez Londoño
Franz Alonso Hamann-Salcedo, Franz Alonso Hamann-Salcedo, Sara Naranjo-Saldarriaga, José Pulido
Juan Pablo Bermúdez-Cespedes, Juan Pablo Bermúdez-Cespedes, Luis Fernando Melo-Velandia
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