Parker Edgar
New York Life Insurance Company, 51 Madison Avenue, New York, NY 10010, USA.
Entropy (Basel). 2018 Sep 2;20(9):662. doi: 10.3390/e20090662.
After the 2008 financial collapse, the now popular measure of implied systemic risk called the absorption ratio was introduced. This statistic measures how closely the economy's markets are coupled. The more closely financial markets are coupled the more susceptible they are to systemic collapse. A new alternative measure of financial market health, the implied information processing ratio or entropic efficiency of the economy, was derived using concepts from information theory. This new entropic measure can also be useful in predicting economic downturns and measuring systematic risk. In the current work, the relationship between these two ratios and types of risks are explored. Potential methods of the joint use of these different measures to optimally reduce systemic and systematic risk are introduced.
2008年金融崩溃后，引入了如今流行的隐含系统性风险衡量指标——吸收比率。该统计数据衡量经济市场的耦合程度。金融市场耦合越紧密，就越容易受到系统性崩溃的影响。利用信息论的概念，得出了一种衡量金融市场健康状况的新的替代指标，即经济的隐含信息处理比率或熵效率。这种新的熵指标在预测经济衰退和衡量系统性风险方面也可能有用。在当前的工作中，探讨了这两个比率与风险类型之间的关系。介绍了联合使用这些不同指标以最优地降低系统性和系统性风险的潜在方法。
