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...

We model the allocation of central bank liquidity among the participants of the interbank market by using network analysis' metrics. Our analytical framework considers that a super-spreader simultaneously excels at receiving (borrowing) and distributing (lending) central bank's liquidity for the...

Defining whether a financial institution is systemically important (or not) is challenging due to (i) the inevitability of combining complex importance criteria such as institutions' size, connectedness and substitutability; (ii) the ambiguity of what an appropriate threshold for those criteria...

As a result of the most recent global financial crisis, literature has embraced size, connectedness and substitutability as key indicators for financial institutions' systemic importance. This paper applies Principal Components Analysis to some metrics for assessing size, connectedness and...

Anomaly-detection methods are aimed at identifying observations that deviate manifestly from what is expected. Such methods are usually run on low-dimensional data, such as time series data. However, the increasing importance of high-dimensional payments and exposure data for financial oversight...