Spin Glass Model of Operational Risk

Spin Glass Model of Operational Risk

We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against variations of these parameters. We unveil the presence of limit cycles and scrutinize the features o...

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Veröffentlicht in:arXiv.org 2010-02
Hauptverfasser: Bardoscia, M, Facchi, P, Pascazio, S, Trullo, A
Format: Artikel
Sprache:eng
Schlagworte:
Mathematical models
Parameters
Risk analysis
Spin glasses
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Beschreibung
Zusammenfassung:We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against variations of these parameters. We unveil the presence of limit cycles and scrutinize the features of the asymptotic state.
ISSN:2331-8422