Systemic risk and stability of the large value payment system in Colombia : an analisys based on network topology and payments simulation

Este artículo estudia la estabilidad del sistema de pagos (SP) de alto valor en Colombia (CUD) ante el incumplimiento de una entidad sistémicamente importante, y evalúa la capacidad de respuesta de las entidades afectadas a partir de la utilización de sus recursos y a través de los mecanismos de liquidez que brinda el Banco de la República. De acuerdo con la literatura reciente, las entidades sistémicamente importantes se identifican bajo el concepto de too-connected-to-fail (TCTF) para diferentes escenarios de volatilidad del mercado de TES y de actividad del SP. La estabilidad del SP se evalúa mediante topología de redes (TR) y un modelo de simulación de pagos (MSP), el cual incorpora un algoritmo de resolución de colas recursivo tipo First In First Out (FIFO) y un algoritmo de compensación multilateral.This article studies the stability of the high value payment system (PS) in Colombia (Deposit Account System) when faced with noncompliance on the part of a systemically important entity and evaluates the response capacity of the affected enti¬ties on the basis of the utilization of their resources, as well as through the liquidity mechanisms provided by the Banco de la República (the Central Bank of Colombia). According to the recent litera¬ture, systemically important entities are grouped under the term too-connected-to-fail (TCTF) in relation to different scenarios involving Colom¬bian Treasury bonds (TES) and PS activities. PS stability is evaluated by means of network topology (NT) and a simulation model of payments (SMP), which incorporate a resolution algorithm recursive queue of the First In First Out (FIFO) kind and a multilateral compensation algorithm