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Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data

Carlos Eduardo
León-Rincón
Jorge
Cely
Carlos
Cadena
Miércoles, 1 Abril 2015

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