Identifying interbank loans, rates, and claims networks from transactional data

León-Rincón, Carlos Eduardo; Cely, Jorge; Cadena-Silva, Carlos Alberto

Identifying interbank loans, rates, and claims networks from transactional data

Download

Borradores de Economía; No. 881

Date published

2015-04-17

Date

2015-04-17

Authors

León-Rincón, Carlos Eduardo
Cely, Jorge
Cadena-Silva, Carlos Alberto

Document language

spa

Metrics

downloads: 0

abstract_views: 0

Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

We identify interbank (i.e. non-collateralized) loans from the Colombian large-value payment system by implementing Furfine’s method. After identifying interbank loans from transactional data we obtain the interbank rates and claims without relying on fin