The Role of Entropy in Estimating Financial Network Default Impact
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 distributi...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-05-01
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| Series: | Entropy |
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| Online Access: | http://www.mdpi.com/1099-4300/20/5/369 |