Showing 1 - 10 of 53
Este artículo analiza algunos elementos característicos del mercado OTC de valores colombiano. Usando métricas del análisis de redes e información de las transacciones de títulos de deuda pública, compara el mercado OTC de valores con sus mercados organizados. Los resultados muestran una...
Persistent link: https://www.econbiz.de/10011096328
We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system by implementing Furfine’s method. After identifying interbank loans from transactional data we obtain the interbank rates and claims without relying on financial institutions’ reported data....
Persistent link: https://www.econbiz.de/10011261879
We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system by implementing Furfine’s method. After identifying interbank loans from transactional data we obtain the interbank rates and claims without relying on financial institutions’ reported data....
Persistent link: https://www.econbiz.de/10011261910
We examine the connective architecture of the main Colombian payment and settlement systems in order to update what we know about local financial networks, and to elaborate on the main consequences for financial stability. Evidence suggests that local financial networks display a modular (i.e....
Persistent link: https://www.econbiz.de/10011116623
Con base en las métricas propias utilizadas para el análisis de redes complejas e información transaccional, este trabajo permite realizar una caracterización del mercado spot peso/dólar y forward peso/dólar colombiano. En particular, es posible establecer que estos pueden ser catalogados...
Persistent link: https://www.econbiz.de/10011183652
Con base en las métricas propias utilizadas para el análisis de redes complejas e información transaccional, este trabajo permite realizar una caracterización del mercado spot peso/dólar y forward peso/dólar colombiano. En particular, es posible establecer que estos pueden ser catalogados...
Persistent link: https://www.econbiz.de/10011184314
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/10010733996
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
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
Evidence suggests that the Colombian interbank funds market is an inhomogeneous and hierarchical network in which a few financial institutions fulfill the role of “super-spreaders” of central bank liquidity among market participants. Results concur with evidence from other interbank markets...
Persistent link: https://www.econbiz.de/10010764233