Article
The Role of Entropy in Estimating Financial Network Default Impact Public Deposited
Downloadable Content
Download PDF
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
- Academic Affiliation
- Journal Title
- Journal Issue/Number
- 5
- Journal Volume
- 20
- Subject
- Last Modified
- 2019-12-05
- Resource Type
- Rights Statement
- DOI
- ISSN
- 1099-4300
- Language
- License
Relationships
Items
Thumbnail | Title | Date Uploaded | Visibility | Actions |
---|---|---|---|---|
theRoleOfEntropyInEstimatingFinancialNetworkDefaultImpac.pdf | 2019-12-05 | Public | Download |