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...

Full description

Saved in:
Bibliographic Details
Main Authors: GÓMEZ-GONZÁLEZ,JOSÉ E, KIEFER,NICHOLAS M
Language:English
Published: Instituto de Economía, Pontificia Universidad Católica de Chile 2009
Subjects:
Financial Institutions
Macroeconomic Variables
Capitalization
Supervision
Transition Intensities
Online Access:http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212009000100002
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212009000100002

Similar Items