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Only Paul Could Go To Changchun

Liquidity and Counterparty Risks Tradeoff in Money Market Networks

5/4/2016

 
Here.

We examine how liquidity is exchanged in different types of Colombian money market networks (i.e. secured, unsecured, and central bank’s repo networks). Our examination first measures and analyzes the centralization of money market networks. Afterwards, based on a simple network optimization problem between financial institutions’ mutual distances and number of connections, we examine the tradeoff between liquidity risk and counterparty risk.

From:

Carlos León
Banco de la República & Tilburg University
Miguel Sarmiento
Banco de la República

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