Examinando por Materia "Riesgo de contagio"

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    Ítem
    Medición del riesgo sistémico intra-bancario
    (Universidad EAFIT, 2020) Cadavid Betancur, Lixander Felipe; Restrepo Tobón, Diego Alexander
    Systemic risk is understood as the risk that a complete complex system collapses as a result of the decisions and actions taken by the individual agents that are part of the system. It is a subject of high importance for both the real sector and the financial system, since a contribution is made to the management, administration and mitigation of credit and contagion risk. A model is proposed through machine learning techniques with the objective of analyzing from the transactional and credit risk, the expected impact of financial difficulties that arise in clients with high portfolio exposures and contagion risk with other customers. From a credit risk management and machine learning approach, recommendations of good practices are proposed in this article to contribute to the mitigation of this type of risk.
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    Ítem
    Riesgo de contagio en el mercado interbancario colombiano ante choques de liquidez. Un estudio de redes
    (Universidad EAFIT, 2024) Rodríguez Arango, Eliana Catalina; Peña Higuavita, Germán Adolfo
    Theoretically, a financial system that is highly concentrated due to the level of interbank transactions carried out by a group of agents is more sensitive to the so-called “contagion risk”, given that the distribution of liquidity will be less efficient. From this situation arises the purpose of this research: analyze the structure of the interbank market in Colombia and determine the risk of contagion in the event of liquidity shocks. For this purpose, by applying graph theory and using Graph Machine Learning, based on overnight interbank transactions performed by 28 commercial banks between January 2018 and December 2019, and between January 2021 and December 2022, it is expected to determine how concentrated the Colombian interbank market is and its resilience in stress periods.