Evidence of Non-Markovian Behavior in the Process of Bank Rating Migrations

This paper estimates transition matrices for the ratings on financial institutions, 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 intensi

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Year of publication:	2009
Authors:	Gómez-González, José E. ; Nicholas M. Kiefer.
Published in:	Latin American Journal of Economics-formerly Cuadernos de Economía. - Instituto de Economía, ISSN 0717-6821. - Vol. 46.2009, 133, p. 33-50
Publisher:	Instituto de Economía
Subject:	Financial institutions \| macroeconomic variables \| capitalization \| supervision \| transition intensities

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C4 - Econometric and Statistical Methods: Special Topics ; E44 - Financial Markets and the Macroeconomy ; G21 - Banks; Other Depository Institutions; Mortgages ; G23 - Pension Funds; Other Private Financial Institutions ; G38 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005256826