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

Author

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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.

Suggested Citation

  • Mariana Laverde & Javier Gutiérrez Rueda, 2012. "¿Cómo caracterizar entidades sistémicas?: Medidas de impacto sistémico para el sistema financiero colombiano," Temas de Estabilidad Financiera 065, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:temest:065
    DOI: 10.32468/tef.65
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    File URL: https://doi.org/10.32468/tef.65
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    References listed on IDEAS

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    1. Mauricio Arias & Juan Carlos Mendoza & David Perez-Reyna, 2011. "Applying CoVaR to measure systemic market risk: the Colombian case," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 351-364, Bank for International Settlements.
    2. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    3. Herring, Richard J., 2011. "The Central Role of Resolution Policy in Dealing with Systemically Important Financial Institution," Working Papers 11-71, University of Pennsylvania, Wharton School, Weiss Center.
    4. Miguel Morales & Dairo Estrada, 2010. "A financial stability index for Colombia," Annals of Finance, Springer, vol. 6(4), pages 555-581, October.
    5. Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
    6. repec:fip:fedgsq:y:2009:x:6 is not listed on IDEAS
    7. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Estabilidad Financiera; Riesgo Sistémico; Teoría del Valor extremo; Ejercicio de estrés;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • L51 - Industrial Organization - - Regulation and Industrial Policy - - - Economics of Regulation

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