Spin Glass Model of Operational Risk

Marco Bardoscia, P. Facchi, S. Pascazio and A. Trullo

Papers from arXiv.org

Abstract: 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.

Date: 2010-02
New Economics Papers: this item is included in nep-rmg
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