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Matríz de transición condicional de los créditos del sector no financiero para Uruguay y sus ventajas frente al cálculo incondicional
| Content Provider | Semantic Scholar |
|---|---|
| Author | Larralde, María Sofía Real, Cecilia Viana, Sara |
| Copyright Year | 2010 |
| Abstract | The goal of this paper is to study the advantages of using a rating transition matrix conditioned on the credit cycle versus using an unconditional matrix. We worked with quarterly data from the Financial System in Uruguay during 1999-2009. First, we built an index of the credit cycle from the relationship between defaulting and some macroeconomic variables. Then, we conditioned the transition matrix to the non-financial sector. Finally, we compared these results with those from the unconditioned matrix. As a conclusion, we find that the estimated credit cycle index is an adequate approximation for the default level of the non-financial sector. Also, it has a significant correlation with the ratings of the transition matrix. With the estimation of the conditioned matrix we obtained better results than those from the average transition matrix. Moreover, by studying the results from using the matrix that is conditioned to the states of the economy, we observe that, on average, the prediction is more precise in good periods than in periods of crisis. |
| Starting Page | 99 |
| Ending Page | 124 |
| Page Count | 26 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.um.edu.uy/docs/larralde_real_viana_revista2011.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
