Carlos Eduardo León

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Authority Centrality and Hub Centrality as Metrics of Systemic Importance of Financial Market Infrastructures	Network analysis has been applied to identify systemically important financial institutions after the 2008 financial crisis. Such applications have stressed the importance of centrality within the too-connected-to-fail concept.
Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space	First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix…
Extracting the Sovereigns’ CDS Market Hierarchy: A Correlation-filtering Approach	Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped into a distance and into a weighted adjacency matrix. Based on such matrix, network theory has attempted to filter out the noise in correlation matrices by extracting the dominant…
Implied Probabilities of Default from Colombian Money Market Spreads: The Merton Model under equity market informational constraints	Informational constraints may turn the Merton Model for corporate credit risk impractical. Applying this framework to the Colombian financial sector is limited to four stock-market-listed firms; more than a hundred banking and non-banking firms are not listed.
Systemic Importance Index for Financial Institutions: A Principal Component Analysis Approach	As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions’ systemic importance. Despite the intuitiveness of these concepts, identifying systemic important institutions remain a non-trivial…
Too-connected-to-fail Institutions and Payments Systems Stability: Assessing Challenges for Financial Authorities	The most recent episode of market turmoil exposed the limitations resulting from the traditional focus on too-big-to-fail institutions within an increasingly systemic-crisis-prone financial system, and encouraged the appearance of the too-connected-to-fail (TCTF) concept. The TCTF concept…

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