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

Jose Gomez-Gonzalez and Nicholas Kiefer ()

Latin American Journal of Economics-formerly Cuadernos de Economía, 2009, vol. 46, issue 133, 33-50

Abstract: 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

Keywords: Financial institutions; macroeconomic variables; capitalization; supervision; transition intensities (search for similar items in EconPapers)
JEL-codes: C4 E44 G21 G23 G38 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Evidence of non-Markovian behavior in the process of bank rating migrations (2007)
Working Paper: Evidence of non-Markovian behavior in the process of bank rating migrations (2007)
Working Paper: Evidence of non-Markovian behavior in the process of bank rating migrations (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ioe:cuadec:v:46:y:2009:i:133:p:33-50

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