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Phase Transitions in Operational Risk
Company: Physical Review E
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: January
Pages: 12
Download Count: 516
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Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 2-27-2007
Publisher: Administrator
In this paper we explore the functional correlation approach to operational risk. We consider networks withheterogeneous a priori conditional and unconditional failure probability. In the limit of sparse connectivity,self-consistent expressions for the dynamical evolution of order parameters are obtained. Under equilibriumconditions, expressions for the stationary states are also obtained. Consequences of the analytical theorydeveloped are analyzed using phase diagrams. We find coexistence of operational and nonoperational phases,much as in liquid-gas systems. Such systems are susceptible to discontinuous phase transitions from theoperational to nonoperational phase via catastrophic breakdown. (volume 75, number 1)
Anand, Kartik Sign in to follow this author
Kuhn, Reimer Sign in to follow this author
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