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Credit Pro-cyclicality and Bank Balance Sheet in Colombia

Salcedo, Franz Alonso Hamann; Hernández, Rafael; … - BANCO DE LA REPÚBLICA - 2013

The recent financial crisis has renewed the interest of economists, both at the theoretical and empirical level, in developing a better understanding of credit and its mechanisms. A rapidly growing strand of the literature views banks as facing funding restrictions that condition their borrowing...

Persistent link: https://www.econbiz.de/10010828174

The Cost of Collateralized Borrowing in the Colombian Money Market: Does Connectedness Matter?

Martínez, Constanza; León, Carlos - BANCO DE LA REPÚBLICA - 2014

Under the view that the market is a weighted and directed network (Barabási, 2003), this document is a first attempt to model the Colombian money market within a spatial econometrics framework. By estimating two standard spatial econometric models, we study the cost of collateralized borrowing...

Persistent link: https://www.econbiz.de/10010764991

DERIVATIVE MARKETS' IMPACT ON COLOMBIAN MONETARY POLICY

Gómez, Esteban; Vásquez, Diego; Zea, Camilo - BANCO DE LA REPÚBLICA - 2005

Derivatives are contingent claims that complete financial markets. Their use allow agents and firms to ameliorate the … this sense, derivatives generate in some cases a loss in the effectiveness of the traditional monetary transmission … model, the impact of the use of interest rate and exchange rate derivatives in the dilution of colombian monetary channels …

Persistent link: https://www.econbiz.de/10005196702

The case for active management from the perspective of Complexity Theory

Herault, Aeljandro Reveiz; Rojas, Sebastian - BANCO DE LA REPÚBLICA - 2008

This paper approaches active management of baskets of currencies from the perspectiveof Complexity theory, where the market is analysed as a Complex Adaptive system. Abasket of currencies is constructed using objective probabilities (propensities) and anartificial intelligence optimization...

Persistent link: https://www.econbiz.de/10005466429

Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints

León, Carlos - BANCO DE LA REPÚBLICA - 2012

Informational constraints may turn the Merton Model for corporate credit risk impractical. Applying this framework to the Colombian financial sector is limited to four stock-market-listed firms; more than a hundred banking and non-banking firms are not listed. Within the same framework, firms'...

Persistent link: https://www.econbiz.de/10010763646

Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence

León, Carlos; Leiton, Karen; Reveiz, Alejandro - BANCO DE LA REPÚBLICA - 2012

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...

Persistent link: https://www.econbiz.de/10010763678

Scale-free tails in Colombian financial indexes: a primer

León, Carlos - BANCO DE LA REPÚBLICA - 2014

A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free distribution, whereas none of the heavy tails of a local sovereign...

Persistent link: https://www.econbiz.de/10010764998

Uso de la Metodología Wavelets para la Validación de la Regla de la Raíz del Tiempo y su Aplicación al Riesgo de Mercado

Niño, Javier Eliecer Pirateque - BANCO DE LA REPÚBLICA - 2014

Bajo el supuesto de que una serie de retornos es independiente e idénticamente distribuida (IID), la dimensión temporal del riesgo es irrelevante. De esta forma, la volatilidad calculada sobre un intervalo de tiempo (e.g. mensual) puede ser estimada a partir de la calculada sobre otro...

Persistent link: https://www.econbiz.de/10010765011

Operational Risk Management using a Fuzzy Logic Inference System

Reveiz, Alejandro; Léon, Carlos - BANCO DE LA REPÚBLICA - 2009

Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches. Engineering has faced the same challenges when designing practical solutions...

Persistent link: https://www.econbiz.de/10005042175

Does the Use of Foreign Currency Derivatives Affect Colombian Firms´ Market Value?

González, José Eduardo Gómez; Rincón, Carlos … - BANCO DE LA REPÚBLICA - 2009

decisions essential for the firm´s value. Moreover, derivatives´ market vast importance is a good proxy of the relevance of … Colombian market. Focused on non-financial firms and the local´s most liquid derivatives market, we find that for a panel of …

Persistent link: https://www.econbiz.de/10005012460