Pérez-Villalobos, Jhonatan

TES Non-Delivery Forward (NDF) is a derivative instrument by which the parties agree to buy or sell Colombian public debt securities denominated in local currency (TES) at a future date, at a price agreed on the contract negotiation date. Generally, these contracts are negotiated between a local…

We study the network of Colombian sovereign securities settlements. With data from the settlement market infrastructure we study financial institutions’ transactions from three different trading and registering individual networks that we combine into a multi-layer network.

Network analysis has been applied to identify systemically important financial institutions after the 2008 financial crisis. Such applications have stressed the importance of centrality within the too-connected-to-fail concept. 

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correlation matrices by extracting the dominant…