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Regulación y Valor en Riesgo
Velandia, Luis Fernando Melo; Castro, Joan Camilo Granados - BANCO DE LA REPÚBLICA - 2010
En este trabajo se analizan algunos aspectos de la regulación relacionada con el manejo del riesgo de mercado establecida por la Superintendencia Financiera de Colombia, donde se propone el valor en riesgo (VaR) como la medida para cuantificar este tipo de riesgo. No obstante, esta regulación...
Persistent link: https://www.econbiz.de/10008461071
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The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter
García-Suaza, Andrés Felipe; Gómez-González, Jose … - BANCO DE LA REPÚBLICA - 2011
-run adjustments in bank capital buffers and the business cycle. We follow a partial adjustment framework and control for several … variables that have been identified as important determinants of bank capital buffers in previous studies, and find that bank …
Persistent link: https://www.econbiz.de/10009643092
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SUPERVISIÓN Y REGULACIÓN DEL SISTEMA FINANCIERO:MODELOS IMPLICACIONES Y ALCANCES
Estrada, Dairo; Rueda, Javier Gutiérrez - BANCO DE LA REPÚBLICA - 2008
En este artículo se realiza una revisión de los modelos de supervisión frecuentementeusados y las características que estos deben cumplir para alcanzar niveles óptimos deregulación y supervisión. Adicionalmente, se revisan las ventajas que surgen al involucraral banco central en dicho...
Persistent link: https://www.econbiz.de/10005768049
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Determinants of Interest Margins in Colombia
Estrada, Dairo; Gómez, Esteban; Orozco, Inés - BANCO DE LA REPÚBLICA - 2006
and Saunders (1981), interest margins are modelled as a function of the pure spread and bank-specific institutional …
Persistent link: https://www.econbiz.de/10005262733
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The Cost of Collateralized Borrowing in the Colombian Money Market: Does Connectedness Matter?
Martínez, Constanza; León, Carlos - BANCO DE LA REPÚBLICA - 2014
Under the view that the market is a weighted and directed network (Barabási, 2003), this document is a first attempt to model the Colombian money market within a spatial econometrics framework. By estimating two standard spatial econometric models, we study the cost of collateralized borrowing...
Persistent link: https://www.econbiz.de/10010764991
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Credit Pro-cyclicality and Bank Balance Sheet in Colombia
Salcedo, Franz Alonso Hamann; Hernández, Rafael; … - BANCO DE LA REPÚBLICA - 2013
funding restrictions that condition their borrowing to a risk-based capital constraint which, in turn, affects bank lending … leverage during the business cycle. Using a sample of monthly bank balance sheets for the period 1994-2012, we find not only … that the Colombian banking sector is predominantly pro-cyclical, but also that the composition of bank liabilities provides …
Persistent link: https://www.econbiz.de/10010828174
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Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach
Rincón, Carlos Eduardo Léon; Leiton, Karen Juliet; … - BANCO DE LA REPÚBLICA - 2013
Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correlation matrices by extracting the dominant...
Persistent link: https://www.econbiz.de/10010763696
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MEDIDAS DE RIESGO FINANCIERO USANDO CÓPULAS: TEORÍA Y APLICACIONES
Becerra, Oscar; Melo, Luis Fernando - BANCO DE LA REPÚBLICA - 2008
Este documento realiza una descripción de las medidas de dependencia consus principales ventajas y desventajas y presenta a la cópula como una estructura flexibleque permite caracterizar diferentes tipos de dependencia. Adicionalmente, introduce eluso de la cópula en la medici´on de riesgo...
Persistent link: https://www.econbiz.de/10005262736
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Designing an expert knowledge-based Systemic Importance Index for financial institutions
Léon, Carlos; Machado, Clara - BANCO DE LA REPÚBLICA - 2011
Defining whether a financial institution is systemically important (or not) is challenging due to (i) the inevitability of combining complex importance criteria such as institutions´ size, connectedness and substitutability; (ii) the ambiguity of what an appropriate threshold for those criteria...
Persistent link: https://www.econbiz.de/10009293901
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Las capacidades financieras de la población colombiana
González, Esteban Gómez; Gómez, Nancy Zamudio - BANCO DE LA REPÚBLICA - 2012
La inclusión financiera se ha convertido en un tema cada vez más relevante dentro de la agenda pública del país, y con esto el diseño de iniciativas privadas y públicas para fomentarla. El presente documento está fundamentado en la tesis de que para hacer estas políticas más eficientes...
Persistent link: https://www.econbiz.de/10010763647