Arbeitspapier
Bank-sourced transition matrices: Are banks' internal credit risk estimates Markovian?
This study provides new insights into banks' credit risk models by exploring features of their credit risk estimates and assessing practicalities of transition matrix estimation and related assumptions. Using a unique dataset of internal credit risk estimates from twelve global A-IRB banks, covering monthly observations on 20,000 North American and EU large corporates over the 2015-2018 time period, the study empirically tests the widely used assumptions of the Markovian property and time homogeneity at a larger scale than previously documented in the literature. The results show that internal credit risk estimates do not satisfy these assumptions as they show evidence of both path-dependency and time heterogeneity. In addition, contradicting previous findings on credit rating agency data, banks tend to revert their rating actions.
- Sprache
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Englisch
- Erschienen in
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Series: IES Working Paper ; No. 03/2019
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
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Risk management
credit risk
transition matrices
- Ereignis
-
Geistige Schöpfung
- (wer)
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Máková, Barbora
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
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2019
- Handle
- Letzte Aktualisierung
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2025-03-10T11:42:43+0100
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Máková, Barbora
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2019
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