期刊论文、会议论文

Li, Jianping

英文

2014 SEVENTH INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION (CSO)

2158-799X

2014

474-478

7th International Joint Conference on Computational Sciences and Optimization (CSO)

International Joint Conference on Computational Sciences and Optimization

JUL 04-06, 2014

Beijing, PEOPLES R CHINA

[Liang, Changzhi;Zhu, Xiaoqian] Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China.^[Yao, Yanzhen] Cent China Normal Univ, Sch Math & Stat, Wuhan 430079, Peoples R China.^[Li, Jianping] Chinese Acad Sci, Inst Policy & Management, Beijing 100190, Peoples R China.

Natl Nat Sci Fdn China, Beijing Univ Chem Technol, Acad Math & Syst Sci, Chinese Acad Sci, Shaanxi Normal Univ, IntBusiness Sch, Sch Econ & Management, Harbin Engn Univ, Sch Automat, Beijing Univ Chem Technol, Centre Energy Chem Management, Chinese Acad Sci, Ctr Forecasting Sci, Chinese Acad Sci, Key Lab Management Decis & Informat Syst, Beijing Zhongke Markway Educ Technol Ctr, Syst Engn Soc China, Decis Sci Soc China, Beijing Operat Res Soc, Int Inst Decis Sci, Operat Res Soc China, Tech Comm Decis Sci, Chinese Soc Management Modernizat, Tech Comm Management & Decis Sci, Syst Engn Soc China, Tech Comm Financial Syst Engn, Chinese Soc Optimizat Overall Planning & Econ Math, Youth Branch, Chinese Soc Management Modernizat, Tech Comm Business Intelligence, Syst Engn Soc China, Youth Branch

Yu, L Zhu, Q Chai, J Wang, S

345 E 47TH ST, NEW YORK, NY 10017 USA

IEEE

978-1-4799-5372-1

10.1109/CSO.2014.136

本校为其他机构

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; wh...