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¿Cómo caracterizar entidades sistémicas?: Medidas de impacto sistémico para el sistema financiero colombiano

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  • Mariana Laverde

    ()

  • Javier Gutiérrez Rueda

    ()

Abstract

Este trabajo hace una contribución a la caracterización de las entidades sistémicas así como las vías mediante las cuales este riesgo se presenta en el sistema. Inicialmente, siguiendo la metodología propuesta por Zhou (2010), se estiman y analizan indicadores de riesgo sistémico para los establecimientos de crédito en Colombia y se estudia cuál es la relación de estas medidas con el tamaño de las entidades en el sistema y el nivel de interconexión en el mercado interbancario. Finalmente se realiza un ejercicio de estrés y se analiza el efecto del mismo en los indicadores de importancia sistémica calculados.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 065.

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Handle: RePEc:bdr:temest:065

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Related research

Keywords: Estabilidad Financiera; Riesgo Sistémico; Teoría del Valor extremo; Ejercicio de estrés Classification JEL: G18; E58; L51;

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References

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  1. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
  2. Chen Zhou, 2010. "Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions," International Journal of Central Banking, International Journal of Central Banking, vol. 6(34), pages 205-250, December.
  3. Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
  4. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  5. repec:fip:fedgsq:y:2009:x:6 is not listed on IDEAS
  6. Miguel Morales & Dairo Estrada, 2010. "A financial stability index for Colombia," Annals of Finance, Springer, vol. 6(4), pages 555-581, October.
  7. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
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