Estimation of Conditional Time-Homogeneous Credit Quality Transition Matrices for Commercial Banks in Colombia

Jose Gomez-Gonzalez and Inés Paola Orozco Hinojosa ()

No 5507, Borradores de Economia from Banco de la Republica

Abstract: This paper presents an estimation of credit quality transition matrices for commercial banks inColombia, using a duration hazard function model, and following the methodology proposed byGómez-González et al (2009). Using a test developed by Weißbach et al (2005), we test for thetime-homogeneity of transition matrices estimated this way, after conditioning on firm-specificand macroeconomic variables. We found that 70% of the time we could not reject the nullhypothesis of time homogeneity. We also found that obtaining matrices for different subsampleswas not necessary, given the similarities of the survival function

Keywords: Credit risk; transition probabilities; hazard functions. (search for similar items in EconPapers)
JEL-codes: C12 C41 E44 G21 (search for similar items in EconPapers)
Pages: 24
Date: 2009-04-26
New Economics Papers: this item is included in nep-ban
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Working Paper: Estimation of Conditional Time-Homogeneous Credit Quality Transition Matrices for Commercial Banks in Colombia (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000094:005507

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