Phase transitions in operational risk.

作者: Kartik Anand , Reimer Kühn

DOI: 10.1103/PHYSREVE.75.016111

关键词: BusinessActuarial scienceOperational riskSystemic riskInvestment bankingCredit riskRisk management toolsLiquidity riskInterest rateMarket risk

摘要: In this paper we explore the functional correlation approach to operational risk. We consider networks with heterogeneous a priori conditional and unconditional failure probability. limit of sparse connectivity, self-consistent expressions for dynamical evolution order parameters are obtained. Under equilibrium conditions, stationary states also Consequences analytical theory developed analyzed using phase diagrams. find coexistence nonoperational phases, much as in liquid-gas systems. Such systems susceptible discontinuous transitions from via catastrophic breakdown. feature be robust against variation microscopic modeling assumptions. Management mitigation risk events major con- cerns banks. The goal is twofold: first, quantitatively as- sess terms potential financial loss second, develop solutions control buffer impact these losses. To facilitate systematic analysis, broadly classified into three categories: i market MR, ii credit CR, iii OR .M R re- fers fluctuations stock indices, changes interest rates, foreign exchange parities or commodity e.g., gold, oil, etc prices. CR refers loan defaults when companies go bank- rupt. Research on understanding developing sophis- ticated models has traditionally focused MR while was initially subsumed under "other," noncredit risks. Subsequent spectacular catastrophes including bankruptcy Orange County municipality, Califor- nia, USA 1994 1 collapse Baring Investment Bank, London, United Kingdom 1995 2, which were neither attributed MRs nor CRs, helped establish category its own. Basel Committee Banking Supervision BCBS, an international regulatory body, now stipulates that banks must explicitly reserve portion equity capital OR. Note above listed main categories not intended exhaustive. Other exist liquidity important bank man- agement, fiduciary compliance risks, arise judicial responsibilities banks' customers. De- pending circumstances, may indeed outweigh importance "main" mentioned above.

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