Risk Contagion in Chinese Banking Industry: A Transfer Entropy-Based Analysis

Risk Contagion in Chinese Banking Industry: A Transfer Entropy-Based Analysis

What is the impact of a bank failure on the whole banking industry? To resolve this issue, the paper develops a transfer entropy-based method to determine the interbank exposure matrix between banks. This method constructs the interbank market structure by calculating the transfer entropy matrix usi...

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Bibliographic Details
Main Authors: Jianping Li, Changzhi Liang, Xiaoqian Zhu, Xiaolei Sun, Dengsheng Wu
Format: Article
Language:English
Published: MDPI AG 2013-12-01
Series:Entropy
Subjects:
interbank exposure matrix
risk contagion
transfer entropy
Online Access:http://www.mdpi.com/1099-4300/15/12/5549

Internet

http://www.mdpi.com/1099-4300/15/12/5549

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