This paper presents a methodology to estimate the intraday liquidity that systemically important entities (SIE) need to fulfill all its obligations in a timely fashion, when a simulated failure-to-pay from its main liquidity supplier by discretionary concepts of payment occurs. Using the Bank of...

Este documento estudia la estabilidad del sistema de pagos (SP) de alto valor en Colombia (CUD) ante el incumplimiento de una entidad sistémicamente importante, y evalúa la capacidad de respuesta de las entidades afectadas a partir de la utilización de sus recursos y a través de los...

The most recent episode of market turmoil exposed the limitations resulting from the traditional focus on too-big-to-fail institutions within an increasingly systemic-crisis-prone financial system, and encouraged the appearance of the too-connected-to-fail (TCTF) concept. The TCTF concept...

En este artículo se propone un método numérico para la calibración de un modelode equilibrio general dinámico y estocástico (DSGE). Esencialmente, éste consisteen utilizar un algoritmo híbrido de optimización, primero para encontrar un estadoestacionario del modelo, y luego para...

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...

Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches. Engineering has faced the same challenges when designing practical solutions...

This document presents an enhanced and condensed version of preceding proposals for identifying systemically important financial institutions in Colombia. Three systemic importance metrics are implemented: (i) money market net exposures network hub centrality; (ii) large-value payment system...

As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion (FBM). Results show that this method...

A pesar de que el encaje bancario era un instrumento de política monetaria que venía cayendo en desuso, recientemente, varios países lo han empleado con aparente éxito en el marco de una política monetaria contracíclica y macroprudencial. Surge entonces la pregunta de si dicho éxito se...

As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions´ systemic importance. Despite the intuitiveness of these concepts, identifying systemic important institutions remain a...