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


  • Mariana Laverde


  • Javier Gutiérrez Rueda



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, "undated". "¿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

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    References listed on IDEAS

    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    3. 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.
    4. Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
    5. repec:fip:fedgsq:y:2009:x:6 is not listed on IDEAS
    6. 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.
    7. Miguel Morales & Dairo Estrada, 2010. "A financial stability index for Colombia," Annals of Finance, Springer, vol. 6(4), pages 555-581, October.
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    More about this item


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

    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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