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

C.E. Leon Rincon, Jorge Cely, Carlos Cadena

Research output: Working paperDiscussion paperOther research output

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Abstract

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 financial institutions’ reported data. Contrasting identified loans with those consolidated from financial institutions’ reported data suggests the algorithm performs well, and it is robust to changes in its setup. The weighted average rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans we also build the interbank claims network. The three main outputs (i.e. the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.
Original languageEnglish
Place of PublicationTilburg
PublisherTilburg University
Number of pages38
Volume2015-029
Publication statusPublished - 6 May 2015

Publication series

NameCentER Discussion Paper
Volume2015-029

Fingerprint

Loans
Loan rates
Financial institutions
Benchmark
Banking risk
Monitoring
Systemic risk
Payment system
Financial contagion
Money market

Keywords

  • Furfine's method
  • interbank
  • IBR
  • TIB

Cite this

Leon Rincon, C. E., Cely, J., & Cadena, C. (2015). Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data. (CentER Discussion Paper; Vol. 2015-029). Tilburg: Tilburg University.
Leon Rincon, C.E. ; Cely, Jorge ; Cadena, Carlos . / Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data. Tilburg : Tilburg University, 2015. (CentER Discussion Paper).
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Leon Rincon, CE, Cely, J & Cadena, C 2015 'Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data' CentER Discussion Paper, vol. 2015-029, Tilburg University, Tilburg.

Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data. / Leon Rincon, C.E.; Cely, Jorge; Cadena, Carlos .

Tilburg : Tilburg University, 2015. (CentER Discussion Paper; Vol. 2015-029).

Research output: Working paperDiscussion paperOther research output

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N2 - 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 financial institutions’ reported data. Contrasting identified loans with those consolidated from financial institutions’ reported data suggests the algorithm performs well, and it is robust to changes in its setup. The weighted average rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans we also build the interbank claims network. The three main outputs (i.e. the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.

AB - 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 financial institutions’ reported data. Contrasting identified loans with those consolidated from financial institutions’ reported data suggests the algorithm performs well, and it is robust to changes in its setup. The weighted average rate implicit in transactional data matches local interbank rate benchmarks strictly. From identified loans we also build the interbank claims network. The three main outputs (i.e. the interbank loans, the rates, and the claims networks) are valuable for examining and monitoring the money market, for contrasting data reported by financial institutions, and as inputs in models of financial contagion and systemic risk.

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Leon Rincon CE, Cely J, Cadena C. Identifying Interbank Loans, Rates, and Claims Networks from Transactional Data. Tilburg: Tilburg University. 2015 May 6. (CentER Discussion Paper).