Gómez-Gonzalez, José E.; Kiefer, Nicholas M. - BANCO DE LA REPÚBLICA - 2007
This paper estimates transition matrices for the ratings on
nancial insti-tutions, using an unusually informative data set. We show that the processof rating migration exhibits signi
cant non-Markovian behavior, in the sensethat the transition intensities are a¤ected by macroeconomic and...