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Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo Topología De Redes Y Simulación De Pagos

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  • Clara Machado

    ()

  • Carlos León

    ()

  • Miguel Sarmiento

    ()

  • Freddy Cepeda

    ()

Abstract

Este artículo estudia la estabilidad del sistema de pagos (SP) de alto valor en Colombia (CUD) ante el incumplimiento de una entidad sistémicamente importante, y evalúa la capacidad de respuesta de las entidades afectadas a partir de la utilización de sus recursos y a través de los mecanismos de liquidez que brinda el Banco de la República. De acuerdo con la literatura reciente, las entidades sistémica¬mente importantes se identifican bajo el concepto de too-connected-to-fail (TCTF) para diferentes escenarios de volatilidad del mercado de TES y de actividad del SP. La estabilidad del SP se evalúa mediante topología de redes (TR) y un modelo de simulación de pagos (MSP), el cual incorpora un algoritmo de resolución de colas recursivo tipo First In First Out (FIFO) y un algoritmo de compensación multilateral.

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Bibliographic Info

Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): (2011)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000107:009972

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Related research

Keywords: sistema de pago; riesgo sistémico; topología de redes; modelos de simulación; política monetaria; prestamista de última instancia; too-connected-to-fail.;

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Cited by:
  1. Carlos Castro & Juan Sebastian Ordoñez, 2012. "A Network model of systemic risk: identifying the sources of dependence across institutions," DOCUMENTOS DE TRABAJO 009651, UNIVERSIDAD DEL ROSARIO.
  2. Carlos Léon, 2012. "Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach," BORRADORES DE ECONOMIA 009441, BANCO DE LA REPÚBLICA.

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