Revista de Economía del Rosario

ISSN-e: 2145-454X

ISSN: 0123-5362 

La estructura a plazos del riesgo interbancario

Guillermo Andres Cangrejo Jimenez

DOI: http://dx.doi.org/10.12804/revistas.urosario.edu.co/economia/a.5617

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Resumen


Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swaps (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-2008 y la crisis del euro en 2010. Adicionalmente, hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis y posterior a ella, el riesgo de default conducía el conportamiento del riesgo interbancario. Además, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic y Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

Palabras clave


riesgo interbancario; estructura a plazos; riesgo de default y de liquidez

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