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La estructura a plazos del riesgo interbancario

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  • Guillermo Andrés Cangrejo Jiménez

Abstract

This paper proposes a model for the term structure of interbank risk measured by the spread between the Interest Rate Swaps (irs) and the Overnight Indexed Swaps (ois) in dollars during the 2007-2008 financial crises and the crisis of the euro in 2010. Additionally, the model makes a decomposition of interbank risk between default and non-default risk (liquidity). Results suggest that the financial crisis had a significant impact on the term structure of interbank risk and its components, years before the crisis; the non-default risk was bigger than default risk; after the crisis default risk driving the behavior of interbank risk. Additionally, the results suggest that, from the term structure of each component of interbank risk, the financial crisis was characterized as a short-term problem that, in contrast to the euro crisis 2010. These results are consistent with Filipovic y Trolle (2012) and propound significant implications on the interbank risk during periods of financial stress.

Suggested Citation

  • Guillermo Andrés Cangrejo Jiménez, 2016. "La estructura a plazos del riesgo interbancario," Revista de Economía del Rosario, Universidad del Rosario, vol. 19(2), pages 129-174, December.
    • Handle: RePEc:col:000151:017953
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    File URL: https://revistas.urosario.edu.co/index.php/economia/article/view/5617
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    More about this item

    Keywords

    Interbank risk; Term structure; default risk; Kalman filter; Swaps;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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