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,

Detalles Bibliográficos
Autores Principales: León-Rincón, Carlos Eduardo, Martínez-Ventura, Ana Constanza, Cepeda-López, Freddy Hernán
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2015
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/6231