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
Jhorland Ayala-García, Leider Manjarres-Beleño, María Urueta-Polo
Luis E. Arango, Luis E. Arango, Luz Adriana Flórez, Carlos Esteban Posada
Oscar Iván Ávila-Montealegre, Anderson Grajales, Juan José Ospina-Tejeiro, Mario Andrés Ramos-Veloza
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