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Spin Glass Model of Operational Risk

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  • M. Bardoscia
  • P. Facchi
  • S. Pascazio
  • A. Trullo

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.

Suggested Citation

  • M. Bardoscia & P. Facchi & S. Pascazio & A. Trullo, 2010. "Spin Glass Model of Operational Risk," Papers 1002.3560, arXiv.org.
  • Handle: RePEc:arx:papers:1002.3560
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    File URL: http://arxiv.org/pdf/1002.3560
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