Spin Glass Model of Operational Risk

Details Spin Glass Model of Operational Risk Spin Glass Model of Operational Risk

2010-02-18

arxiv.org/abs/1002.3560v1

Economy

Quantitative Finance

Risk Management

12 Pages, 15 Figures

Scientific paper

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.

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