Carlos León

Banco de la República (Central Bank of Colombia)

Researcher

Bogotá

Colombia

Tilburg University - Center for Economic Research (CentER)

Extramural Fellow

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

30

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2,852

SSRN CITATIONS
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19

CROSSREF CITATIONS

24

Scholarly Papers (30)

1.

Operational Risk Management Using a Fuzzy Logic Inference System

Borradores de Economia No. 574
Number of pages: 32 Posted: 16 Sep 2009
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 368 (82,204)

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Operational Risk, Fuzzy Logic, Risk Management

2.

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

INTEREST RATE MODELS, ASSET ALLOCATION AND QUANTITATIVE TECHNIQUES FOR CENTRAL BANKS AND SOVEREIGN WEALTH FUNDS, A. Berkelaar, J. Coche, K. Nyholm, eds., Palgrave Macmillan, 2010
Number of pages: 23 Posted: 16 Sep 2009 Last Revised: 03 Oct 2010
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 296 (104,830)

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Portfolio Optimization, Asset Allocation, Downside Risk, Maximum Drawdown, mean-variance Criteria, Diversification

3.
Downloads 206 (151,259)
Citation 1

Portfolio Optimization and Long-Term Dependence

Banco de la Republica Working Paper No. 602
Number of pages: 28 Posted: 02 Oct 2010
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 123 (235,206)
Citation 1

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Portfolio Optimization, Hurst Exponent, Long-Term Dependence, Biased Random Walk, Rescaled Range Analysis

Portfolio Optimization and Long-Term Dependence

ODEON No. 6, 2011
Number of pages: 43 Posted: 16 Feb 2013
Carlos León and Alejandro Reveiz
Banco de la República (Central Bank of Colombia) and World Bank
Downloads 83 (308,245)

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portfolio optimization, Hurst exponent, long-term dependence, biased random walk, rescaled range analysis

4.

Financial Stability from a Network Perspective

León, C. [Ed.], Financial Stability From a Network Perspective, CentER Dissertation Series, CentER, Tilburg University [ISBN 978-90-5668430-3]
Number of pages: 252 Posted: 09 Mar 2015
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 171 (179,090)

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financial stability, networks, modularity, resilience, fragility, financial markets

Systemic Importance Index for Financial Institutions: A Principal Component Analysis Approach

ODEON, No. 7, 2013
Number of pages: 41 Posted: 13 Mar 2014
Carlos León and Andrés Murcia
Banco de la República (Central Bank of Colombia) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 109 (257,037)

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Systemic Importance, Systemic Risk, Principal Components Analysis, Too-connected-to-fail, Too-big-to-fail

Systemic Importance Index for Financial Institutions: A Principal Component Analysis Approach

Borradores de economia, Num. 741, 2012
Number of pages: 31 Posted: 24 Nov 2012
Carlos León and Andres Murcia
Banco de la República (Central Bank of Colombia) and Ministry of Finance, Netherlands
Downloads 53 (393,555)
Citation 4

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Systemic Importance, Systemic Risk, Principal Components Analysis, Tooconnected-to-fail, Too-big-to-fail

Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures

European Banking Center Discussion Paper Series No. 2014-011, CentER Discussion Paper Series No. 2014-057, TILEC Discussion Paper No. 2014-033
Number of pages: 40 Posted: 30 Sep 2014 Last Revised: 13 Oct 2014
Carlos León, Ron Berndsen and Luc Renneboog
Banco de la República (Central Bank of Colombia), De Nederlandsche Bank and Tilburg University - Department of Finance
Downloads 122 (236,689)
Citation 3

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multiplex networks, interacting networks, financial stability, contagion, financial market infrastructures

Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures

Number of pages: 40 Posted: 02 Dec 2014
Carlos León, Ron Berndsen and Luc Renneboog
Banco de la República (Central Bank of Colombia), De Nederlandsche Bank and Tilburg University - Department of Finance
Downloads 29 (496,660)
Citation 2

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multiplex networks, interacting networks, financial stability, contagion, financial market infrastructures.

7.

Montecarlo Simulation of Long‐Term Dependent Processes: A Primer

Borradores de Economia, No. 648, 2011
Number of pages: 16 Posted: 07 Jul 2012
Carlos León and Alejandro Reveiz

Banco de la República (Central Bank of Colombia) and affiliation not provided to SSRN
Downloads 144 (206,969)
Citation 2

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montecarlo simulation, fractional brownian motion, Hurst exponent, long‐term dependence, biased random walk

8.

Estimating Financial Institutions’ Intraday Liquidity Risk: A Monte Carlo Simulation Approach

Borradores de Economia, No. 713, 2012
Number of pages: 30 Posted: 06 Jul 2012
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 144 (206,969)

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payments systems, intraday, liquidity risk, bivariate poisson process, Monte Carlo simulation, liquidity buffer, oversight

9.

Authority Centrality and Hub Centrality as Metrics of Systemic Importance of Financial Market Infrastructures

Number of pages: 25 Posted: 07 Jul 2013
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 123 (234,277)
Citation 7

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financial market infrastructures, systemic risk, authority, hub, centrality, HITS

Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks

CentER Discussion Paper Series No. 2015-052, European Banking Center Discussion Paper Series No. 2015-010
Number of pages: 45 Posted: 14 Jun 2014 Last Revised: 11 Nov 2015
Carlos León, Clara Machado and Miguel Sarmiento
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and Tilburg University, CentER, European Banking Center (EBC)
Downloads 61 (367,151)
Citation 3

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interbank, liquidity, monetary policy, financial stability, networks, super-spreader, central bank

Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks

Number of pages: 27 Posted: 23 Mar 2014 Last Revised: 28 May 2014
Carlos León, Clara Machado and Miguel Sarmiento
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and Tilburg University, CentER, European Banking Center (EBC)
Downloads 44 (427,073)
Citation 1

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interbank, monetary policy, contagion, networks, super-spreader, central bank

11.

Investment Horizon Dependent CAPM: Adjusting Beta for Long-Term Dependence

Number of pages: 25 Posted: 24 Nov 2012
Carlos León, Karen Leiton and Alejandro Reveiz
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and World Bank
Downloads 95 (280,617)
Citation 3

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CAPM, Hurst exponent, long-term dependence, fractional Brownian motion, asset allocation, investment horizon

12.

Foreign Reserves’ Strategic Asset Allocation

Number of pages: 26 Posted: 07 Jul 2012
Carlos León and Daniel Vela
Banco de la República (Central Bank of Colombia) and affiliation not provided to SSRN
Downloads 95 (280,617)
Citation 1

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foreign reserves, Black‐Litterman, strategic asset allocation

13.

Too-Connected-To-Fail Institutions and Payments System’s Stability: Assessing Challenges for Financial Authorities

Borradores de Economia, No. 644, 2011
Number of pages: 46 Posted: 07 Jul 2012
Banco de la República (Central Bank of Colombia), Central Bank of Colombia, Central Bank of Colombia and Tilburg University, CentER, European Banking Center (EBC)
Downloads 87 (296,729)
Citation 6

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payments systems, too-connected-to-fail, too-big-to-fail, systemic risk, network topology, simulation, central bank liquidity

14.

Rethinking Financial Stability: Challenges Arising from Financial Networks’ Modular Scale-Free Architecture

Number of pages: 38 Posted: 20 Feb 2014
Carlos León and Ron Berndsen
Banco de la República (Central Bank of Colombia) and De Nederlandsche Bank
Downloads 85 (301,120)
Citation 6

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financial stability, macro-prudential, financial networks, contagion, network models

15.

A Multi-Layer Network of the Sovereign Securities Market

Number of pages: 25 Posted: 02 Dec 2014
Carlos León, Jhonatan Pérez and Luc Renneboog
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and Tilburg University - Department of Finance
Downloads 68 (342,310)

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multiplex networks, financial market infrastructures, correlated multiplexity, settlement.

16.

Does the Use of Foreign Currency Derivatives Affect Colombian Firms’ Market Value?

Borradores de Economia, Num. 562, 2009
Number of pages: 30 Posted: 06 Jul 2012 Last Revised: 09 Sep 2015
Banco de la República (Central Bank of Colombia), Banco de la Republica and Central Bank of Colombia
Downloads 64 (353,430)

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Modigliani-Miller, risk management, hedging, firm value, emerging market

17.

Equity Markets’ Clustering and the Global Financial Crisis

CentER Discussion Paper Series No. 2016-016
Number of pages: 37 Posted: 21 Apr 2016
Banco de la República (Central Bank of Colombia), Research Dept., Bank of Korea, Banco de la Republica and The Bank of Korea
Downloads 60 (365,203)
Citation 2

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clustering, unsupervised learning, stock market, connectedness

18.

Designing an Expert Knowledge-Based Systemic Importance Index for Financial Institutions

Borradores de Economia, No. 669, 2011
Number of pages: 41 Posted: 07 Jul 2012
Carlos León and Clara Machado
Banco de la República (Central Bank of Colombia) and affiliation not provided to SSRN
Downloads 57 (374,400)
Citation 5

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systemic importance, systemic risk, fuzzy logic, approximate reasoning, too-connected-to-fail, too-big-to-fail

19.

Whose Balance Sheet is This? Neural Networks for Banks’ Pattern Recognition

CentER Discussion Paper Series No. 2017-009
Number of pages: 35 Posted: 24 Feb 2017
Carlos León, Jose Moreno and Jorge Cely
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and Central Bank of Colombia
Downloads 54 (384,103)

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supervised learning, machine learning, artificial neural networks, classification

20.

Macro-Prudential Assessment of Colombian Financial Institutions’ Systemic Importance

CentER Discussion Paper Series No. 2014-040
Number of pages: 46 Posted: 25 Jun 2014 Last Revised: 16 Jul 2014
Carlos León, Clara Machado and Andres Murcia
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and Ministry of Finance, Netherlands
Downloads 50 (397,431)

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systemic importance, systemi risk, fuzzy logic, principal component analysis, financial stability, marcro prudential

21.

Caracterización Y Comparación Del Mercado OTC De Valores En Colombia (Characterization and Comparison of the OTC Security Market in Colombia)

Revista de Economía Institucional Vol. 16, 31, segundo semestre de 2014
Number of pages: 28 Posted: 12 Dec 2014
Carlos León and Jhonatan Pérez
Banco de la República (Central Bank of Colombia) and Central Bank of Colombia
Downloads 45 (415,188)

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mercado sobre el mostrador, OTC, deuda pública, análisis de redes, árbol de cobertura mínima; market over the counter, OTC, public debt, network analysis, minimum spanning tree

22.

The Evolution of World Trade from 1995 to 2014: A Network Approach

CentER Discussion Paper series No. 2017-008
Number of pages: 39 Posted: 24 Feb 2017
Central Bank of Colombia, Central Bank of Colombia, Banco de la República (Central Bank of Colombia) and Banco de la República
Downloads 44 (418,904)
Citation 1

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world trade, network analysis, graph, minimal spanning tree

23.

Liquidity and Counterparty Risks Tradeoff in Money Market Networks

CentER Discussion Paper Series No. 2016-017
Number of pages: 37 Posted: 21 Apr 2016
Carlos León and Miguel Sarmiento
Banco de la República (Central Bank of Colombia) and Tilburg University, CentER, European Banking Center (EBC)
Downloads 41 (430,283)

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liquidity risk, counterparty risk, network, centralization, money market

24.

Implied Probabilities of Default from Colombian Money Market Spreads: The Merton Model under Equity Market Informational Constraints

Borradores de Economia, Num. 743, 2012
Number of pages: 36 Posted: 24 Nov 2012
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 36 (451,033)
Citation 2

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Merton model, structural model, credit risk, probability of default, distance to default

25.

Extracting the Sovereigns’ CDS Market Hierarchy: A Correlation‐Filtering Approach

Number of pages: 26 Posted: 20 Feb 2014
Banco de la República (Central Bank of Colombia), Central Bank of Colombia and Central Bank of Colombia
Downloads 31 (473,499)

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correlation, minimal spanning tree, correlation‐filtering, sovereign, credit default swap

26.

The Cost of Collateralized Borrowing in the Colombian Money Market: Does Connectedness Matter?

Number of pages: 24 Posted: 21 Feb 2014
Constanza Martinez Ventura and Carlos León
Banco de la Republica and Banco de la República (Central Bank of Colombia)
Downloads 22 (522,319)
Citation 1

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money market, interbank, collateral, collateralized borrowing, spatial econometrics

27.

Short-Term Liquidity Contagion in the Interbank Market

CentER Discussion Paper Series No. 2016-018
Number of pages: 33 Posted: 21 Apr 2016
Banco de la República (Central Bank of Colombia), Banco de la Republica and Central Bank of Colombia
Downloads 20 (534,005)

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financial networks, contagion, default, liquidity, DebtRank

28.

International Trade Networks and the Integration of Colombia into Global Trade

BIS Paper No. 100g
Number of pages: 19 Posted: 13 Feb 2019
Andrés Murcia, Hernando Vargas and Carlos León
Banco de la República, Banco de la República and Banco de la República (Central Bank of Colombia)
Downloads 16 (558,046)

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international trade, network analysis, globalisation, manufacturing sector, real exchange rate, Colombia

29.

Ownership Networks Effects on Secured Borrowing

CentER Discussion Paper Series No. 2018-015
Number of pages: 35 Posted: 08 May 2018
Banco de la Republica, Tilburg University - Department of Econometrics & Operations Research and Banco de la República (Central Bank of Colombia)
Downloads 12 (583,297)

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funding costs, short-term liquidity, spatial panel data models

30.

Financial Dollarization: International Experience and Colombia Perspectives

Revista de Economía Institucional, Vol. 10, No. 18, First Semester 2008
Posted: 30 Jul 2008
Carlos León and Alejandro Reveíz
Banco de la República (Central Bank of Colombia) and Banco de la República

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financial dollarization, partial dollarization, foreign exchange risk, balance sheet effect

Other Papers (2)

Total Downloads: 75
1.

Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos

Revista Ensayos Sobre Política Económica (ESPE), Vol. 29, No. 65, p. 109-175, Junio, 2011.
Number of pages: 41 Posted: 07 Jul 2012 Last Revised: 14 Jan 2019
Banco de la República (Central Bank of Colombia), Central Bank of Colombia, Tilburg University, CentER, European Banking Center (EBC), Central Bank of Colombia, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 70

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sistema de pago, riesgo sistémico, topología de redes, modelos de simulación, política monetaria, prestamista de Última instancia, too-connected-to-fail

2.

Índice Representativo Del Mercado De Deuda Pública Interna: Idxtes

Number of pages: 26 Posted: 22 Sep 2009
Carlos León
Banco de la República (Central Bank of Colombia)
Downloads 5

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índice de renta fija, benchmark, portafolio de referencia, TES