Stutzer Michael
Leeds School of Business, University of Colorado, Boulder, CO 80309, USA.
Entropy (Basel). 2018 May 16;20(5):369. doi: 10.3390/e20050369.
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.
金融网络中的主体可能同时既是债权人又是债务人，这就产生了违约可能引发后续违约级联反应的可能性。在这些情况下，解决无法偿还的债务将产生分配影响。使用基于相对熵的后续违约解决过程分配影响度量方法，有人认为，在估计这种影响时，对网络参与者最初相互欠下的资金矩阵中未知单元格的最小互信息估计不会引入系统偏差。
