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The Role of Entropy in Estimating Financial Network Default Impact Public Deposited

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https://scholar.colorado.edu/concern/articles/5x21tg05s
Abstract
  • Agents in financial networks can simultaneously be both creditors and debtors, creating the possibility that a default may cause a subsequent default cascade. Resolution of unpayable debts in these situations will have a distributional impact. Using a relative entropy-based measure of the distributional impact of the subsequent default resolution process, it is argued that minimum mutual information estimation of unknown cells in the matrix of funds originally owed by the network participants to each other does not introduce systematic biases when estimating that impact.
Creator
Date Issued
  • 2018-01-01
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Journal Title
Journal Issue/Number
  • 5
Journal Volume
  • 20
Subject
Last Modified
  • 2019-12-05
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DOI
ISSN
  • 1099-4300
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