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Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas

Gómez, Nancy Eugenia Zamudio - BANCO DE LA REPÚBLICA - 2007

En este documento se caracteriza el endeudamiento del sector corporativo privado con el sistemafinanciero durante el período 1998-2005, y se hallan los determinantes de la probabilidadde que una empresa colombiana incumpla con el pago las obligaciones que ha contraído coneste. A trav´es de un...

Persistent link: https://www.econbiz.de/10005768080

An Alternative Methodology for Estimating Credit Quality Transition Matrices

Gómez, Jose Eduardo; Acevedo, Paola Morales; Pineda, … - BANCO DE LA REPÚBLICA - 2007

Financial institutions use credit ratings to express their risk perception abouttheir clients. Credit ratings feed their internal credit scoring models, allowingthem to evaluate the current state of the quality of their balances and to calcu-late the reserves required to provision their loan...

Persistent link: https://www.econbiz.de/10005597700

Evidence of non-Markovian behavior in the process of bank rating migrations

Gómez-Gonzalez, José E.; Kiefer, Nicholas M. - BANCO DE LA REPÚBLICA - 2007

This paper estimates transition matrices for the ratings on nancial insti-tutions, using an unusually informative data set. We show that the processof rating migration exhibits signicant non-Markovian behavior, in the sensethat the transition intensities are a¤ected by macroeconomic and...

Persistent link: https://www.econbiz.de/10005466419

Evidence of non-Markovian behavior in the process of bank rating migrations

González, José E. Gómez; Kiefer, Nicholas M. - BANCO DE LA REPÚBLICA - 2007

This paper estimates transition matrices for the ratings on financial insti-tutions, using an unusually informative data set. We show that the process of rating migration exhibits significant non-Markovian behavior, in the sense that the transition intensities are affected by macroeconomic and...

Persistent link: https://www.econbiz.de/10005466433

Authority Centrality and Hub Centrality as metrics of systemic importance of financial market infrastructures

Rincón, Carlos Eduardo León; Villalobos, Jhonatan Pérez - BANCO DE LA REPÚBLICA - 2013

Network analysis has been applied to identify systemically important financial institutions after the 2008 financial crisis. Such applications have stressed the importance of centrality within the too-connected-to-fail concept. Yet, despite their well-known importance for financial stability,...

Persistent link: https://www.econbiz.de/10010763656

A Composite Indicator of Systemic Stress (CISS) for Colombia

Cabrera, Wilmar; Hurtado, Jorge; Morales, Miguel; … - BANCO DE LA REPÚBLICA - 2014

The most recent global financial crisis (2008-2009) highlighted the importance of systemic risk and promoted academic interest to develop a wide set of warning indicators, which are mechanisms to identify systemically important institutions and global systemic risk indexes. Using the methodology...

Persistent link: https://www.econbiz.de/10010783563

Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints

León, Carlos - BANCO DE LA REPÚBLICA - 2012

Informational constraints may turn the Merton Model for corporate credit risk impractical. Applying this framework to the Colombian financial sector is limited to four stock-market-listed firms; more than a hundred banking and non-banking firms are not listed. Within the same framework, firms'...

Persistent link: https://www.econbiz.de/10010763646

Too-connected-to-fail Institutions and Payments System´s Stability: Assessing Challenges for Financial Authorities

León, Carlos; Machado, Clara; cepeda, Freddy; … - BANCO DE LA REPÚBLICA - 2011

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...

Persistent link: https://www.econbiz.de/10008865920

A MARKET RISK APPROACH TO LIQUIDITY RISK AND FINANCIAL CONTAGION

Estrada, Dairo; Osorio, Daniel - BANCO DE LA REPÚBLICA - 2006

According to traditional literature, liquidity risk in individual banks can turn into a system-wide ¯nancial crisis … individual liquidity risk trans- forms into system-wide market risk (even in the absence of bank runs and interbank credit … networks). This happens when banks try to sell some portion of its assets in order to overcome a liquidity shortage (individual …

Persistent link: https://www.econbiz.de/10005466443

Determinants of Interest Margins in Colombia

Estrada, Dairo; Gómez, Esteban; Orozco, Inés - BANCO DE LA REPÚBLICA - 2006

This paper analyzes the determinants of interest margins in the Colombian Financial System. Based on the model by Ho and Saunders (1981), interest margins are modelled as a function of the pure spread and bank-specific institutional imperfections using quarterly data for the period...

Persistent link: https://www.econbiz.de/10005262733

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