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Carlos Castro Iragorri

Personal Details

First Name:Carlos
Middle Name:
Last Name:Castro Iragorri
Suffix:
RePEc Short-ID:pca1068
https://ccastroiragorri.github.io/

Affiliation

Facultad de Economía
Universidad del Rosario

Santa Fe de Bogotá, Colombia
http://www.urosario.edu.co/facultad-economia/inicio/

:


RePEc:edi:ferosco (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Carlos Castro & Diego Agudelo & Sergio Preciado, 2017. "Measuring the effectiveness of volatility call auctions," Documentos de Trabajo 015498, Universidad del Rosario.
  2. Carlos Castro & Juan S. Ordoñez & Sergio Preciado, 2016. "Network externalities across financial institutions," Documentos de Trabajo 014287, Universidad del Rosario.
  3. Carlos Castro & Cristhian Rodriguez, 2016. "Racial and spatial interaction for neighborhood dynamics in Chicago," Documentos de Trabajo 014589, Universidad del Rosario.
  4. Carlos Castro & Nini Johana Marin, 2014. "Stock return comovements and integration within the Latin American integrated market," Documentos de Trabajo 011082, Universidad del Rosario.
  5. Carlos Castro Iragorri, 2014. "La Administración Cuantitativa del Riesgo Financiero en la provisión de un Plan de Salud," Documentos de Trabajo 012048, Universidad del Rosario.
  6. 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.
  7. Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo 008779, Universidad del Rosario.
  8. Carlos Castro, 2010. "Essays in dependence and optimality in large portfolios," ULB Institutional Repository 2013/210186, ULB -- Universite Libre de Bruxelles.
  9. Carlos Alberto Castro Iragorri, 2009. "Administración de riesgos en los Fondos Privados de Pensiones," Archivos de Economía 005250, Departamento Nacional de Planeación.
  10. Carlos Alberto Castro & Juan Ricardo Perilla & Orlando Gracia, 2006. "El comercio internacional y la productividad total de los factores en Colombia," Archivos de Economía 002470, Departamento Nacional de Planeación.
  11. Juan Sebastián CAMPOS & Carolina LOZANO & Carlos Alberto CASTRO, 2005. "Un Modelo Gravitacional para la Agenda Interna," Archivos de Economía 003684, Departamento Nacional de Planeación.
  12. Carlos Alberto CASTRO, 2004. "Eficiencia -X en el sector bancario colombiano," Archivos de Economía 002439, Departamento Nacional de Planeación.
  13. Carlos Alberto CASTRO IRAGORRI, 2003. "Yet another lagging, coincident and leading index for the Colombian economy," Archivos de Economía 003785, Departamento Nacional de Planeación.
  14. Carlos Alberto CASTRO IRAGORRI, 2003. "Sistema de modelos multivariados para la proyección del Producto Interno Bruto," Archivos de Economía 003502, Departamento Nacional de Planeación.

Articles

  1. Carlos Castro & Karen Garcia, 2014. "Default risk in agricultural lending, the effects of commodity price volatility and climate," Agricultural Finance Review, Emerald Group Publishing, vol. 74(4), pages 501-521, October.
  2. Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
  3. Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," Revista de Economía del Rosario, Universidad del Rosario, June.
  4. Carlos Castro Iragorri & Stijn Ferrari, 2010. "Measuring the systemic importance of financial institutions using market information," Financial Stability Review, National Bank of Belgium, vol. 8(1), pages 127-141, June.
  5. Carlos Castro, 2010. "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 353-393, December.
  6. Castro Carlos Alberto, 2001. "Eficiencia-X en el sector bancario colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes - CEDE, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo 008779, Universidad del Rosario.

    Cited by:

    1. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016. "The information in systemic risk rankings," Working Paper Series 1875, European Central Bank.
    2. Edward M. H. Lin & Edward W. Sun & Min-Teh Yu, 2018. "Systemic risk, financial markets, and performance of financial institutions," Annals of Operations Research, Springer, vol. 262(2), pages 579-603, March.
    3. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
    4. Adrian, Tobias & Brunnermeier, Markus K., 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York, revised 01 Sep 2014.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    5. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
    6. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
    7. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 499-512, October.
    8. Liu, Xiaochun, 2017. "Measuring systemic risk with regime switching in tails," Economic Modelling, Elsevier, vol. 67(C), pages 55-72.
    9. H. Dewachter & G. de Walque & M. Emiris & P. Ilbas & J. Mitchell & R. Wouters, 2012. "Endogenous financial risk : The seventh international conference of the NBB," Economic Review, National Bank of Belgium, issue iii, pages 135-146, December.
    10. Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2016. "Evaluating systemic risk using bank default probabilities in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 66(C), pages 54-75.
    11. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    12. Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2015. "Taming macroeconomic instability : monetary and macro prudential policy interactions in an agent-based model," Documents de Travail de l'OFCE 2015-32, Observatoire Francais des Conjonctures Economiques (OFCE).
    13. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
    14. Jian, Zhihong & Wu, Shuai & Zhu, Zhican, 2018. "Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach," Emerging Markets Review, Elsevier, vol. 37(C), pages 98-113.
    15. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    16. de Mendonça, Helder Ferreira & Silva, Rafael Bernardo da, 2018. "Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 141-157.
    17. Jokivuolle, Esa & Tunaru, Radu & Vioto, Davide, 2018. "Testing the systemic risk differences in banks," Research Discussion Papers 13/2018, Bank of Finland.
    18. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(3), pages 1-25, July.
    19. Georgios Moratis & Plutarchos Sakellaris, 2017. "Measuring the systemic importance of banks," Working Papers 240, Bank of Greece.
    20. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2016. "Economic policy uncertainty and risk spillovers in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 24-45.
    21. Uribe, Jorge M. & Chuliá, Helena & Guillén, Montserrat, 2017. "Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 52-68.
    22. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  2. Carlos Alberto Castro Iragorri, 2009. "Administración de riesgos en los Fondos Privados de Pensiones," Archivos de Economía 005250, Departamento Nacional de Planeación.

    Cited by:

    1. Alejandro Reveiz & Carlos León & Freddy H. Castro & Gabriel Piraquive, 2009. "Modelo de simulación del valor de la pensión de un trabajador en Colombia," BORRADORES DE ECONOMIA 005387, BANCO DE LA REPÚBLICA.

  3. Juan Sebastián CAMPOS & Carolina LOZANO & Carlos Alberto CASTRO, 2005. "Un Modelo Gravitacional para la Agenda Interna," Archivos de Economía 003684, Departamento Nacional de Planeación.

    Cited by:

    1. Camilo UMAÑA DAJUD, 2011. "Una evaluación de la estrategia comercial de Colombia a la luz de un Modelo de Equilibrio General Computable basado en la ecuación de gravedad," Archivos de Economía 008948, Departamento Nacional de Planeación.
    2. Stellian, Rémi & Danna-Buitrago, Jenny Paola, 2017. "Colombian agricultural product competitiveness under the free trade agreement with the United States: analysis of the comparative advantages," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
    3. Gustavo Rodríguez & Jorge Dávalos, 2017. "El Potencial de Comercio del Acuerdo Trans-Pacífico para el Perú, un enfoque Gravitacional (The Trans-Pacific Partnership Agreement (TPP) Trade Potential for Peru, a Gravity Model Approach)," Revista Internacional de Gestión del Conocimiento y la Tecnología (GECONTEC), Revista Internacional de Gestión del Conocimiento y la Tecnología (GECONTEC), vol. 5(2), pages 93-107, December.
    4. Juan Sebastián Castillo & Mª Carmen García Cortijo, 2014. "Las exportaciones españolas de vino, 1986-2012: dinámicas gravitacionales," Historia Agraria. Revista de Agricultura e Historia Rural, Sociedad Española de Historia Agraria, issue 64, pages 103-130, december.
    5. Enrique PINZON GARCIA & Oscar M. VALENCIA ARANA, 2006. "The Determinants of Colombian Firm´s Debt-Asset Ratio (1997-2003)," Archivos de Economía 003582, Departamento Nacional de Planeación.

  4. Carlos Alberto CASTRO, 2004. "Eficiencia -X en el sector bancario colombiano," Archivos de Economía 002439, Departamento Nacional de Planeación.

    Cited by:

    1. Thomas F. RUTHERFORD & Miles K. LIGHT & Gustavo Adolfo HERNANDEZ, 2002. "A dynamic general equilibrium model for tax policy analysis in Colombia," Archivos de Economía 001910, Departamento Nacional de Planeación.
    2. Mauricio SANTAMARÍA SALAMANCA, 2001. "External Trade, Skill, Technology and the recent increase of income inequality in Colombia," Archivos de Economía 002705, Departamento Nacional de Planeación.
    3. Allan DRAZEN & Marcela ESLAVA, 2003. "The political business cycle in Colombia on the National and Regional level," Archivos de Economía 003616, Departamento Nacional de Planeación.
    4. Jaime Andrés ESTRADA, 2002. "Optimal enforcement: Finding the right balance," Archivos de Economía 003302, Departamento Nacional de Planeación.
    5. Miguel SARMIENTOÕ & Andrés CEPEDA & Hernando MUTIS & Juan F. PÉREZ, 2013. "Nueva Evidencia sobre la Eficiencia de la Banca," Archivos de Economía 010705, Departamento Nacional de Planeación.
    6. Dairo Estrada & Poldy Osorio, 2004. "Effects Of Financial Capital On Colombian Banking Efficiency," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 22(47), pages 162-201, December.
    7. Fernando MESA PARRA, 2001. "Strategic Trade Policy and Exchange Rate Uncertainty," Archivos de Economía 003527, Departamento Nacional de Planeación.
    8. Diego F. ANGEL URDINOLA & Quentin WODON, 2003. "The impact on inequality of raising the minimum wage: Gap- narrowing and reranking effects," Archivos de Economía 003602, Departamento Nacional de Planeación.
    9. Enrique PINZON GARCIA & Oscar M. VALENCIA ARANA, 2006. "The Determinants of Colombian Firm´s Debt-Asset Ratio (1997-2003)," Archivos de Economía 003582, Departamento Nacional de Planeación.
    10. Maria Otilia Orozco, 2005. "Colombia's Higher Education Quality Control System and Potential for Further Development," Archivos de Economía 002139, Departamento Nacional de Planeación.
    11. Carolina Ortega Londoño, 2018. "Transmission of Monetary Policy and Bank Heterogeneity in Colombia," Documentos de Trabajo CIEF 016792, Universidad EAFIT.
    12. Diego F. ANGEL URDINOLA & Quentin WODON, 2003. "Relative labor supply and the gender wage Gap: Evidence for Colombia and the United States," Archivos de Economía 003452, Departamento Nacional de Planeación.
    13. Michel Janna Gandur, 2003. "Eficiencia en Costos,Cambios en las Condiciones Generales del Mercado y Crisis en la Banca Colombiana: 1992-2002," Borradores de Economia 260, Banco de la Republica de Colombia.
    14. Paula ACOSTA MARQUEZ, 2002. "Does corporate governance matter for developing countries? An overview of the Mexican case," Archivos de Economía 002380, Departamento Nacional de Planeación.
    15. Ruth Guillén & Bernarda Pinilla, 2010. "Effects of bank mergers on concentration and efficiency of the venezuelan banking system, 1998-2005," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 35(30), pages 103-142, July-Dece.
    16. Javier E. Pirateque & José H. Piñeros & Linda Mondragón, 2013. "Eficiencia de los establecimientos bancarios (EB): una aproximación mediante modelos DEA," Borradores de Economia 798, Banco de la Republica de Colombia.
    17. José Daniel REYES PEÑA, 2003. "The cost of disinflation in Colombia: -A sacrifice Ratio Approach-," Archivos de Economía 003579, Departamento Nacional de Planeación.
    18. Carlos Alberto CASTRO IRAGORRI, 2003. "Yet another lagging, coincident and leading index for the Colombian economy," Archivos de Economía 003785, Departamento Nacional de Planeación.
    19. Diego F. ANGEL-URDINOLA, 2004. "A Minimum Wage Increase Can Have an Adverse Distributional Impact:The case of Colombia," Archivos de Economía 001922, Departamento Nacional de Planeación.

Articles

  1. Carlos Castro & Karen Garcia, 2014. "Default risk in agricultural lending, the effects of commodity price volatility and climate," Agricultural Finance Review, Emerald Group Publishing, vol. 74(4), pages 501-521, October.

    Cited by:

    1. Ulf Römer & Oliver Musshoff, 2018. "Can agricultural credit scoring for microfinance institutions be implemented and improved by weather data?," Agricultural Finance Review, Emerald Group Publishing, vol. 78(1), pages 83-97, February.

  2. Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
    See citations under working paper version above.
  3. Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," Revista de Economía del Rosario, Universidad del Rosario, June.

    Cited by:

    1. Christoph Wunderer, 2017. "Asset correlation estimation for inhomogeneous exposure pools," Papers 1701.02028, arXiv.org.
    2. García-Céspedes, Rubén & Moreno, Manuel, 2014. "Estimating the distribution of total default losses on the Spanish financial system," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 242-261.

  4. Carlos Castro Iragorri & Stijn Ferrari, 2010. "Measuring the systemic importance of financial institutions using market information," Financial Stability Review, National Bank of Belgium, vol. 8(1), pages 127-141, June.

    Cited by:

    1. Carlos Castro & Juan S. Ordoñez & Sergio Preciado, 2016. "Network externalities across financial institutions," Documentos de Trabajo 014287, Universidad del Rosario.
    2. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.

  5. Carlos Castro, 2010. "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 353-393, December.

    Cited by:

    1. Nandkumar Nayar & Ajai Singh & Wen Yu, 2011. "Unraveling a puzzle: the case of value line timeliness rank upgrades," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 379-409, December.

  6. Castro Carlos Alberto, 2001. "Eficiencia-X en el sector bancario colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes - CEDE, September.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (3) 2011-07-02 2012-06-25 2012-10-20
  2. NEP-RMG: Risk Management (3) 2011-07-02 2012-10-20 2016-03-23
  3. NEP-URE: Urban & Real Estate Economics (2) 2016-03-23 2016-06-09
  4. NEP-CBA: Central Banking (1) 2012-06-25
  5. NEP-ECM: Econometrics (1) 2011-07-02
  6. NEP-FMK: Financial Markets (1) 2014-05-17
  7. NEP-GEO: Economic Geography (1) 2016-06-09
  8. NEP-LAB: Labour Economics (1) 2016-06-09
  9. NEP-LAM: Central & South America (1) 2014-05-17
  10. NEP-MST: Market Microstructure (1) 2017-04-16
  11. NEP-NET: Network Economics (1) 2012-06-25

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