Network entropy and systemic risk in dynamic banking systems. (English) Zbl 1377.93147
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.
MSC:
| 93E03 | Stochastic systems in control theory (general) |
| 91G50 | Corporate finance (dividends, real options, etc.) |
| 91G80 | Financial applications of other theories |
Keywords:
network entropy; dynamic banking systems; systemic risk; random networks; small-world networks; scale-free networksReferences:
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