Systemic risk, maximum entropy and interbank contagion

被引：3
|
作者：
Andrecut, M.
机构：
[1] Calgary, T3G 5Y8, AB
来源：
INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2016年 / 27卷 / 12期
关键词：
Systemic risk; interbank contagion; maximum entropy; EXPOSURES;
D O I：
10.1142/S0129183116501485
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy (ME) method. The ME method severely underestimates the risk of interbank contagion by assuming a fully connected network, while in reality the structure of the interbank network is sparsely connected. Here, we formulate an algorithm for sparse network reconstruction, and we show numerically that it provides a more reliable estimation of the systemic risk.
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收藏
页数：14
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