Short-term liquidity contagion in the interbank market
We implement a modified version of DebtRank, a measure of systemic impact inspired in feedback centrality, to recursively measure the contagion effects caused by the default of a selected financial institution. In our case contagion is a liquidity issue,
Autores Principales: | , , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Banco de la República
2015
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Materias: | |
Acceso en línea: | http://repositorio.banrep.gov.co/handle/20.500.12134/6231 |