Network entropy and systemic risk in dynamic banking systems

DOI10.1155/2017/1852897MaRDI QIDQ1687399zbMATH OpenOpenAlexFDO

Authors Liang He, Shouwei Li

Publication date 3 January 2018

Published in Complexity (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2017/1852897

zbMATH Keywords

dynamic banking systemsnetwork entropyrandom networksscale-free networkssmall-world networkssystemic risk

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80) Stochastic systems in control theory (general) (93E03)

Review text

Summary: We investigate network entropy of dynamic banking systems, where interbank networks analyzed include random networks, small-world networks, and scale-free networks. We find that network entropy is positively correlated with the effect of systemic risk in the three kinds of interbank networks and that network entropy in the small-world network is the largest, followed by those in the random network and the scale-free network.

Recommendations

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Cites work

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Cited in

(12)

• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• From ecology to finance (and back?): a review on entropy-based null models for the analysis of bipartite networks
• Systemic risk in banking networks: advantages of ``tiered banking systems
• Risk-dependent centrality in economic and financial networks
• Risk propagation model of inter-enterprise on scale-free networks
• Stationarity, non-stationarity and early warning signals in economic networks
• Research of progress in application of complex network theory in bank system
• Empirical study on Chinese interbank network structure
• Interbank network model and distributed prediction strategy of systemic risk
• Modeling the two-power-law degree distribution of banking networks
• Research on systemic risk in a triple network
• Double tracking control for the complex dynamic network with an unavailable link state

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