Fiche du document
2016
- ISIDORE Id: 10670/1.8cfbe2...
- 0120-2596
Ce document est lié à :
http://www.redalyc.org/revista.oa
Lecturas de Economía
Mots-clés
Economía y Finanzas IBR interbank rate Furfine’s methodSujets proches
Borrowing Lending Loans for consumption War claims Claims--Law and legislation International claims Private claimsCiter ce document
Carlos León et al., « Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data », Lecturas de Economía, ID : 10670/1.8cfbe2...
Métriques
Partage / Export
Résumé
Ourobjectiveistoidentifyinterbank(i.e.,non-collateralized)loansbetweenfinancialinstitutionsfromColombian large-value payment system data by implementing Furfine’s method. After identifying interbank loans from transactional data, we obtain the interbank rates and claims without relying on financial institutions’ reported data. Contrasting identified loanswiththoseconsolidatedfromfinancialinstitutions’reporteddatasuggeststhealgorithmperformswell,anditisrobustto changesinitssetup. Theweightedaveragerateimplicitintransactionaldatamatcheslocalinterbankratebenchmarksstrictly. From identified loans, we also build the interbank claims network. The three main outputs (i.e., the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.
