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

Borradores de Economia
Número: 
881
Publicado: 
Clasificación JEL: 
E42, E44
Palabras clave: 
Furfine’s Method, Interbank, IBR, TIB

Lo más reciente

Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Juan J. Ospina-Tejeiro, Edgar Caicedo-García
Leonardo Fabio Morales, Diego Astorga-Rojas, Nicolas Guida-Johnson

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