EVIDENCE OF NON-MARKOVIAN BEHAVIOR IN THE PROCESS OF BANK RATING MIGRATIONS

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 intensities are affected by macroeconomic and bank-s...

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Autores principales: GÓMEZ-GONZÁLEZ,JOSÉ E, KIEFER,NICHOLAS M
Lenguaje:English
Publicado: Instituto de Economía, Pontificia Universidad Católica de Chile 2009
Materias:
Financial Institutions
Macroeconomic Variables
Capitalization
Supervision
Transition Intensities
Acceso en línea:http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212009000100002
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