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Short-Term Liquidity Contagion in the Interbank Market

Carlos Eduardo
León-Rincón
Constanza
Martínez-Ventura
Freddy Hernán
Cepeda-López
Martes, 1 Diciembre 2015

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,