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Aproximación cuantitativa a la centralidad de los bancos en el mercado interbancario: enfoque de juegos cooperativos

Author

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  • Agustín Saade Ospina

Abstract

En este trabajo se propone una metodología para cuantificar la centralidad de los agentes que participan en el mercado interbancario, bajo un enfoque de juegos cooperativos. La metodología utiliza diferencias de valores de Shapley en juegos de transacciones con y sin restricciones de red observable, y permite construir series de tiempo para cada agente, que identifican la posición relativa de cada uno frente al mercado. Por último, se analizan propiedades del indicador y su relación con variables relacionadas con riesgo de liquidez. Se encuentra que para el caso del SEN hay una relación entre un indicador de dispersión de red y los bid-ask spread de los TES en bandas líquidas.

Suggested Citation

  • Agustín Saade Ospina, 2008. "Aproximación cuantitativa a la centralidad de los bancos en el mercado interbancario: enfoque de juegos cooperativos," Temas de Estabilidad Financiera 037, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:temest:037
    DOI: 10.32468/tef.37
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    References listed on IDEAS

    as
    1. Dairo Estrada & Paola Morales Acevedo, 2008. "La estructura del mercado interbancario y del riesgo de contagio en Colombia," Temas de Estabilidad Financiera 030, Banco de la Republica de Colombia.
    2. Roger B. Myerson, 1977. "Graphs and Cooperation in Games," Mathematics of Operations Research, INFORMS, vol. 2(3), pages 225-229, August.
    3. Gomez, Daniel & Gonzalez-Aranguena, Enrique & Manuel, Conrado & Owen, Guillermo & del Pozo, Monica & Tejada, Juan, 2003. "Centrality and power in social networks: a game theoretic approach," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 27-54, August.
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    More about this item

    Keywords

    Estabilidad financiera; Teoría de juegos cooperativos; Riesgo de liquidez; Posición relativa en mercados con red observable; Mercado interbancario.;
    All these keywords.

    JEL classification:

    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation

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