Borradores de Economia
Número:
478
Publicado:
Clasificación JEL:
C4, E44, G21, G23, G38
Palabras clave:
Firms, macroeconomic variables, firm-specific covariates, hazard function
Lo más reciente
Juan Camilo Laborde-Vera
Oscar Iván Ávila-Montealegre, Juan José Ospina-Tejeiro, Anderson Grajales, Mario Andrés Ramos-Veloza
Mario Andrés Ramos-Veloza, Sara Naranjo-Saldarriaga, José Pulido
This study presents an alternative way of estimating credit transition matrices using a hazard function model. The model is useful both for testing the validity of the Markovian assumption, frequently made in credit rating applications, and also for estim