A Multi-Layer Network of the Colombian Sovereign Securities Market

Abstract

This chapter examines 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 networks that we combine into a multi-layer network. Examining this network of networks enables us to confirm that (i) studying isolated single-layer trading and registering networks yields a misleading perspective on the relations between and risks induced by participating financial institutions; (ii) a multi-layer approach produces a connective structure consistent with most real-world networks (e.g. sparse, inhomogeneous, and clustered); and (iii) the multi-layer network is a multiplex that preserves the main connective features of its constituent layers due to positively correlated multiplexity. The results highlight the importance of mapping and understanding how financial institutions relate to each other across multiple financial environments, and the value of financial market infrastructures as sources of data for working on multi-layer financial networks.

Las transferencias procesadas por ACH Colombia: un análisis desde la perspectiva de topología de redes

“…un mercado anónimo o ciego) y donde no existen cupos que limiten la realización de transacciones, las características de la red tienden a ser aquellas de una red aleatoria. Ese es el caso del Sistema Electrónico de Negociación (SEN) de deuda pública en Colombia (ver León, Pérez & Renneboog , 2016b). Otro ejemplo es el de las redes de instituciones financieras que realizan transacciones en nombre de terceros, como es el caso de la red de bancos liquidadores del sistema de pagos de alto valor del Reino Unido (Becher, Millard & Soramäki, 2008).…”

Multiplex Interbank Networks and Systemic Importance: An Application to European Data

“…For instance, how close the network resembles a coreperiphery structure depends on the asset class considered. Further related contributions are the papers by León et al (2014), Molina-Borboa et al (2015) and Montagna and Kok (2013 …”

Network centrality and funding rates in the e-MID interbank market

“…In the financial economic literature network analysis has mostly been applied to payment systems, interbank lending markets, and more recently extended to capture the mutual exposure of financial institutions to other asset classes, including derivatives contracts, in a multilayer networks framework (Bargigli et al (2015), Leon et al (2014), Molina-Borboa et al (2015), Aldasoro and Alves (2015), Poledna et al (2015)). …”