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首页> 外文会议>2014 Seventh International Joint Conference on Computational Sciences and Optimization >Contagion in Chinese Banking System: A Comparison of Maximum Entropy Method and Transfer Entropy Method
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Contagion in Chinese Banking System: A Comparison of Maximum Entropy Method and Transfer Entropy Method

机译：中国银行体系的传染性：最大熵法和转移熵法的比较

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摘要

Maximum entropy method (MEM) is the traditional approach to estimate interbank exposure matrix, which is the key to assess contagion effect in banking system. Recently, a new transfer entropy method (TEM) is proposed to estimate interbank exposure matrix. This paper employs the two approaches to estimate interbank exposure matrix of Chinese banking system, and then simulate the contagion process given the initial failure of a bank in the system. The comparison of the results indicate that MEM is consistent with TEM when it comes to general and qualitative features of Chinese banking system; while the differences begin to emerge when it comes to the exact and quantitative features of Chinese banking system.
机译：最大熵法（MEM）是估算银行同业敞口矩阵的传统方法，是评估银行体系中传染效应的关键。最近，提出了一种新的转移熵方法（TEM）来估计银行同业敞口矩阵。本文采用两种方法来估计中国银行系统的银行同业风险敞口矩阵，然后在系统出现银行初始故障的情况下，模拟其传染过程。结果的比较表明，就中国银行体系的一般性和质性而言，MEM与TEM一致。当谈到中国银行体系的确切和定量特征时，差异开始出现。

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