Estimation of conditional time-homogeneous credit quality transition matrices

This paper presents a methodology for estimating time-homogeneous credit quality transition matrices. Using a unique data set on credit ratings of commercial loans in Colombia, we show that 70% of the time we cannot reject the null hypothesis of time homogeneity of transition matrices estimated this way. We also find that obtaining matrices for different subsamples is not necessary, given the similarities of the survival functions.

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Year of publication:	2010
Authors:	Gómez-González, José Eduardo ; Hinojosa, Inés Paola Orozco
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 27.2010, 1, p. 89-96
Publisher:	Elsevier
Keywords:	Credit risk Transition probabilities Hazard functions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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