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Un Análisis de Cointegración para el Riesgo de Crédito.

Rueda, Javier Gutiérrez; Diego M. Vásquez E. - Banco de la Republica de Colombia

Es común en la literatura considerar el riesgo de crédito como una de las principales fuentes de inestabilidad del sistema financiero. Con el fin de evaluar la sensibilidad del riesgo de crédito ante cambios en algunas variables macroeconómicas y sus posibles efectos sobre la rentabilidad de...

Persistent link: https://www.econbiz.de/10005274562

An Alternative Methodology for Estimating Credit Quality Transition Matrices

Gómez, Jose E.; Morales, Paola; Pineda, Fernando; … - Banco de la Republica de Colombia

This study presents an alternative way of estimating credit transition matrices using a hazard function model. The model is useful both for testing the validity of the Markovian assumption, frequently made in credit rating applications, and also for estimating transition matrices conditioning on...

Persistent link: https://www.econbiz.de/10005274363

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

González, José E. Gómez; Kiefer, Nicholas M. - Banco de la Republica de Colombia

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/10005274416

Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas

Gómez, Nancy Eugenia Zamudio - Banco de la Republica de Colombia

En este documento se caracteriza el endeudamiento del sector corporativo privado con el sistema financiero durante el período 1998-2005, y se hallan los determinantes de la probabilidad de que una empresa colombiana incumpla con el pago las obligaciones que ha contraído con este. A través de...

Persistent link: https://www.econbiz.de/10005274455

Capital Account Controls, Bank’s Efficiency, Growth and Macroeconomic Volatility in the FLAR’s Member Countries?

Mora, Humberto; Rincón, Hernán - Banco de la Republica de Colombia

This paper evaluates the effects of capital account controls adopted in the past years by the FLAR’s member countries (Bolivia, Colombia, Costa Rica, Ecuador, Perú and Venezuela) on the efficiency of the banking sector, the economic growth and the volatility of output, consumption, and...

Persistent link: https://www.econbiz.de/10005113959

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

Rincón, Carlos Eduardo León; Villalobos, Jhonatan Pérez - Banco de la Republica de Colombia - 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/10010862635

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

León, Carlos - Banco de la Republica de Colombia - 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/10010585970

The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter

García-Suaza, Andrés Felipe; Gómez-González, José E.; … - Banco de la Republica de Colombia

Using a panel of Colombian banks and quarterly data between 1996:1 and 2010:3, we study the relationship between short-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...

Persistent link: https://www.econbiz.de/10009003255

A Market Risk Approach to Liquidity Risk and Financial Contagion

Estrada, Dairo; Osorio, Daniel - Banco de la Republica de Colombia

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/10005113935

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

Léon, Carlos; Machado, Clara; Cepeda, Freddy; … - Banco de la Republica de Colombia

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/10008854671

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