Carlos León

Tilburg University - Center for Economic Research (CentER)

Extramural Fellow

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

Financial Network Analytics Ltd

London

United Kingdom

  • Tilburg University - Center for Economic Research (CentER)

  • Financial Network Analytics Ltd

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 18,940

SSRN RANKINGS

Top 18,940

in Total Papers Downloads

5,183

SSRN CITATIONS
Rank 16,172

SSRN RANKINGS

Top 16,172

in Total Papers Citations

69

CROSSREF CITATIONS

23

Scholarly Papers (32)

Actions:
Email selected abstracts
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
Tilburg University - Center for Economic Research (CentER)
Downloads 483 (114,538)
Citation 2

Abstract:

Loading...

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
Tilburg University - Center for Economic Research (CentER)
Downloads 394 (145,353)

Abstract:

Loading...

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

3.

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

Number of pages: 25 Posted: 07 Jul 2013
Carlos León
Tilburg University - Center for Economic Research (CentER)
Downloads 388 (147,901)
Citation 10

Abstract:

Loading...

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

4.

Portfolio Optimization and Long-Term Dependence

Downloads 321 (181,743)
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
Tilburg University - Center for Economic Research (CentER)
Downloads 204 (284,049)
Citation 1

Abstract:

Loading...

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
Tilburg University - Center for Economic Research (CentER) and World Bank
Downloads 117 (454,277)

Abstract:

Loading...

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

5.

Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures

Downloads 309 (189,161)
Citation 14

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
Tilburg University - Center for Economic Research (CentER), De Nederlandsche Bank and Tilburg University - Department of Finance
Downloads 228 (255,913)
Citation 8

Abstract:

Loading...

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
Tilburg University - Center for Economic Research (CentER), De Nederlandsche Bank and Tilburg University - Department of Finance
Downloads 81 (585,346)
Citation 4

Abstract:

Loading...

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

6.

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

Downloads 302 (193,913)
Citation 5

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
Tilburg University - Center for Economic Research (CentER) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 224 (260,273)
Citation 1

Abstract:

Loading...

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
Tilburg University - Center for Economic Research (CentER) and Ministry of Finance, Netherlands
Downloads 78 (598,812)
Citation 9

Abstract:

Loading...

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

7.

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
Tilburg University - Center for Economic Research (CentER)
Downloads 297 (197,257)
Citation 1

Abstract:

Loading...

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

8.

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
Tilburg University - Center for Economic Research (CentER)
Downloads 232 (252,567)

Abstract:

Loading...

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

9.

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

Tilburg University - Center for Economic Research (CentER) and affiliation not provided to SSRN
Downloads 216 (270,250)
Citation 2

Abstract:

Loading...

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

10.

Simulating the Adoption of a Retail CBDC

TILEC Discussion Paper No. 2023-018
Number of pages: 35 Posted: 02 Aug 2023
Carlos León, Jose Moreno and Kimmo Soramäki
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Financial Network Analytics (FNA)
Downloads 196 (295,475)

Abstract:

Loading...

payments, money, agent-based modelling, simulation, digital twin

11.

Identifying Central Bank Liquidity Super-Spreaders in Interbank Funds Networks

Downloads 178 (322,262)
Citation 7

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: 22 Aug 2022
Carlos León, Clara Machado and Miguel Sarmiento
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Tilburg University, CentER, European Banking Center (EBC)
Downloads 101 (507,074)
Citation 13

Abstract:

Loading...

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
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Tilburg University, CentER, European Banking Center (EBC)
Downloads 77 (603,223)

Abstract:

Loading...

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

12.

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
Carlos León, Clara Machado, Freddy Cepeda and Miguel Sarmiento
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia, Central Bank of Colombia and Tilburg University, CentER, European Banking Center (EBC)
Downloads 158 (357,283)
Citation 9

Abstract:

Loading...

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

13.

Foreign Reserves’ Strategic Asset Allocation

Number of pages: 26 Posted: 07 Jul 2012
Carlos León and Daniel Vela
Tilburg University - Center for Economic Research (CentER) and affiliation not provided to SSRN
Downloads 155 (363,091)

Abstract:

Loading...

foreign reserves, Black‐Litterman, strategic asset allocation

14.

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
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and World Bank
Downloads 140 (394,020)
Citation 3

Abstract:

Loading...

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

15.

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
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Central Bank of Colombia
Downloads 138 (398,433)

Abstract:

Loading...

supervised learning, machine learning, artificial neural networks, classification

16.

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
Tilburg University - Center for Economic Research (CentER) and De Nederlandsche Bank
Downloads 133 (410,203)
Citation 6

Abstract:

Loading...

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

17.

A Multi-Layer Network of the Sovereign Securities Market

Number of pages: 25 Posted: 02 Dec 2014
Carlos León, Jhonatan Pérez and Luc Renneboog
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Tilburg University - Department of Finance
Downloads 118 (449,256)
Citation 2

Abstract:

Loading...

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

18.

Equity Markets’ Clustering and the Global Financial Crisis

CentER Discussion Paper Series No. 2016-016
Number of pages: 37 Posted: 21 Apr 2016
Carlos León, Geun-Young Kim, Constanza Martinez Ventura and Daeyup Lee
Tilburg University - Center for Economic Research (CentER), Research Dept., Bank of Korea, Banco de la Republica and The Bank of Korea
Downloads 98 (513,319)
Citation 2

Abstract:

Loading...

clustering, unsupervised learning, stock market, connectedness

19.

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
Freddy Cepeda, Fredy Gamboa, Carlos León and Hernan Rincon
Central Bank of Colombia, Central Bank of Colombia, Tilburg University - Center for Economic Research (CentER) and Banco de la República
Downloads 91 (538,520)
Citation 2

Abstract:

Loading...

world trade, network analysis, graph, minimal spanning tree

20.

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
Carlos León, Jose E Gomez-Gonzalez and Karen Rodriguez
Tilburg University - Center for Economic Research (CentER), Banco de la Republica and Central Bank of Colombia
Downloads 91 (538,520)
Citation 1

Abstract:

Loading...

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

21.

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
Tilburg University - Center for Economic Research (CentER) and affiliation not provided to SSRN
Downloads 87 (553,762)
Citation 6

Abstract:

Loading...

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

22.

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
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Ministry of Finance, Netherlands
Downloads 84 (565,746)

Abstract:

Loading...

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

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
Tilburg University - Center for Economic Research (CentER) and Tilburg University, CentER, European Banking Center (EBC)
Downloads 81 (578,054)
Citation 4

Abstract:

Loading...

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

24.

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
Tilburg University - Center for Economic Research (CentER) and Central Bank of Colombia
Downloads 78 (590,833)

Abstract:

Loading...

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

25.

Banking Stability: The Impact of Financial Sector Heterogeneity on Systemic Risk in Financial Crises and Economic Recessions

Book chapter- World Scientific Publishing, Forthcoming
Number of pages: 42 Posted: 03 Apr 2023
Carlos León, Zihao LIU and Luc Renneboog
Tilburg University - Center for Economic Research (CentER), Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 73 (612,925)

Abstract:

Loading...

Financial Institutions, Bank Holding Companies, COVID-19, Great Recession, FDIC, Financial Markets, Financial Crises, Economic Recessions, Heterogeneity, Systemic Risk, Dodd Frank

26.

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
Tilburg University - Center for Economic Research (CentER)
Downloads 68 (636,709)
Citation 5

Abstract:

Loading...

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

27.

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 Tilburg University - Center for Economic Research (CentER)
Downloads 65 (651,691)

Abstract:

Loading...

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

28.

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

Number of pages: 26 Posted: 20 Feb 2014
Carlos León, Karen Leiton Rodriguez and Jhonatan Pérez
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia and Central Bank of Colombia
Downloads 62 (667,393)
Citation 1

Abstract:

Loading...

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

29.

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 Tilburg University - Center for Economic Research (CentER)
Downloads 54 (711,672)
Citation 1

Abstract:

Loading...

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

30.

Short-Term Liquidity Contagion in the Interbank Market

CentER Discussion Paper Series No. 2016-018
Number of pages: 33 Posted: 21 Apr 2016
Carlos León, Constanza Martinez Ventura and Freddy Cepeda
Tilburg University - Center for Economic Research (CentER), Banco de la Republica and Central Bank of Colombia
Downloads 52 (723,677)

Abstract:

Loading...

financial networks, contagion, default, liquidity, DebtRank

31.

Ownership Networks Effects on Secured Borrowing

CentER Discussion Paper Series No. 2018-015
Number of pages: 35 Posted: 08 May 2018
Constanza Martinez Ventura, Pavel Cizek and Carlos León
Banco de la Republica, Tilburg University - Department of Econometrics & Operations Research and Tilburg University - Center for Economic Research (CentER)
Downloads 41 (797,165)

Abstract:

Loading...

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

32.

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
Tilburg University - Center for Economic Research (CentER) and Banco de la República

Abstract:

Loading...

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

Other Papers (3)

Total Downloads: 298
Actions:
Email selected abstracts
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
Carlos León, Clara Machado, Miguel Sarmiento, Freddy Cepeda, Orlando Chipatecua and Jorge Cely
Tilburg University - Center for Economic Research (CentER), Central Bank of Colombia, Tilburg University, CentER, European Banking Center (EBC), Central Bank of Colombia, affiliation not provided to SSRN and Independent
Downloads 170

Abstract:

Loading...

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

2.

Banking Stability: The Impact of Financial Sector Heterogeneity on Systemic Risk in Financial Crises and Economic Recessions

European Corporate Governance Institute – Finance Working Paper No. 863/2022, Forthcoming book chapter Banking Resilience and Global Financial Stability, Boubaker and Elnahass (eds.) (World Scientific Publishing)
Number of pages: 48 Posted: 23 Jan 2023 Last Revised: 18 Apr 2023
Carlos León, Zihao Liu and Luc Renneboog
Tilburg University - Center for Economic Research (CentER), Tilburg University and Tilburg University - Department of Finance
Downloads 107

Abstract:

Loading...

Financial institutions, Bank holding companies, COVID-19, Great Recession, FDIC, Financial markets, Financial crises, Economic Recessions, Heterogeneity; Systemic risk, Dodd Frank

3.

Índice Representativo Del Mercado De Deuda Pública Interna: Idxtes

Number of pages: 26 Posted: 22 Sep 2009
Carlos León
Tilburg University - Center for Economic Research (CentER)
Downloads 21

Abstract:

Loading...

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