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Interconexiones Bancarias y Riesgo de Liquidez Sistémico en el Perú

Author

Listed:
  • Cuba, Walter
  • Oré, Erick
  • Toma, Hiroshi

    (Banco Central de Reserva del Perú)

Abstract

El siguiente trabajo presenta un nuevo indicador para identificar a entidades financieras con importancia sistémica en la liquidez del sistema financiero. La probabilidad de que una entidad cause problemas de liquidez en las demás es a lo que nosotros llamamos riesgo de liquidez sistémico. Se propone un algoritmo para el contagio del fondeo y un indicador que mide la posibilidad de que surja un problema que no pueda ser absorbido por el mercado. Los resultados muestran que durante el periodo de 2006 al 2018 el riesgo de liquidez sistémico se ha reducido en moneda nacional, mientras que, en moneda extranjera, no se ha visto un riesgo significativo en ningún momento.

Suggested Citation

  • Cuba, Walter & Oré, Erick & Toma, Hiroshi, 2020. "Interconexiones Bancarias y Riesgo de Liquidez Sistémico en el Perú," Working Papers 2020-005, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2020-005
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