WEBINAR: Too big to fail? An analysis of the Colombian banking system through compositional data [10-05-2023 CET: UTC/GMT +2 h]

25/04/2023

Dear CoDa-member,

We are glad to announce the forthcoming CoDa-webinar that we hope will be of interest to you. 

Looking forward to meet you there!

 

Best wishes,

The CoDa Association Council

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Too big to fail? An analysis of the Colombian banking system through compositional data 

Juan David Vega Baquero

 

Day: 10-05-2023

Time: 11:30h (CET: UTC/GMT +2 h)

Link: https://us06web.zoom.us/j/88591669413?pwd=REZDc0tmK2VhNlkrUGJwY1FVNm93Zz09 

 

  • Speaker: Juan David Vega Baquero (PhD candidate in Economics, University of Barcelona, Spain)
  • Moderator: Javier Palarea
  • Title: Too big to fail? An analysis of the Colombian banking system through compositional data
  • Abstract: 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.
  • Keywords:  Simplex, Aitchison geometry, Systemically important banks, Vector autoregresion

 

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Please note that the webinar will be recorded. Feel free to forward this message to your colleagues who may be interested in attending.

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