Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/336346 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Latin American Journal of Central Banking (LAJCB) [ISSN:] 2666-1438 [Volume:] 3 [Issue:] 2 [Article No.:] 100060 [Year:] 2022 [Pages:] 1-14
Verlag: 
Elsevier, Amsterdam
Zusammenfassung: 
Although still incipient in economics and finance, compositional data analysis (in which relative information is more important than absolute values are) has become more relevant in statistical analysis in recent years. This article constructs a concentration index for financial/banking systems via compositional analysis to establish the potential existence of "too big to fail" financial entities. The intention is to provide an early warning tool for regulators about this type of institution, so they can define thresholds and measures depending on their risk appetite and the systems' specificities. The index has been applied to the Colombian banking system and assessed over time with a forecast to determine whether the system is becoming more concentrated. Results found that the concentration index has been decreasing in recent years and the model predicts this trend will continue. Regarding the methodology used, compositional models were shown to be more stable and to lead to better prediction of the index compared to the classical multivariate methodologies.
Schlagwörter: 
Aitchison geometry
Simplex
Systemically important banks
Vector autoregresion
JEL: 
G17
G21
G28
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
1.78 MB





Publikationen in EconStor sind urheberrechtlich geschützt.