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A Proposal on Macro-prudential Regulation

This paper assesses the choice of different regulatory policy instruments for crisis management and prevention.

Estimating Credit Quality Transition Matrices for the Commercial Loan Portfolio in the Colombian Financial System

Financial institutions rate loans as an expression of the risk they believe the client poses. With the data from those ratings, they can evaluate the current quality of their balance sheet and calculate the loan-loss provisions required for their loan portfolio. A loan rating also is an...

Fragility Determinants of the Private Corporate Sector in Colombia

The aim of this paper is to identify a set of early warning indicators that effectively discriminate between firms that are more prone to default on their financial obligations from those that are less prone to do so. To fulfill this objective, we use the Discriminant Analysis methodology. We...

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, measured as the decrease in financial...