Regensburg 2002 – wissenschaftliches Programm
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 10: Finanzm
ärkte und Risikomanagement I
AKSOE 10.3: Vortrag
Montag, 11. März 2002, 10:30–11:00, H8
Risk Modeling in Banking Organization - A Case Study in Modeling Collective Phenomena for Operational Risks — •Peter Neu1 and Reimer Kühn2 — 1Dresdner Bank AG, Group Risk Control, Jürgen-Ponto-Platz 1, D-60301 Frankfurt, Germany — 2Institut für Theoretische Physik der Universität Heidelberg, D-69126 Heidelberg, Germany
A survey is given over best practice risk modeling for market, credit and operational risks in banking organizations. It is emphasized that common models rely on equal-time cross correlations between risk factors such as stock prices, interest rates and firm asset values. It is argued that these models are ill-suited to describe collective phenomena which pose the biggest risk for banking organizations. As an alternative, a lattice gas model with heterogeneous, functionally defined couplings is proposed and discussed in a case study for operational risk. In a simple running/not-running setting for coupled processes, the model shows collective phenomena such as bursts and avalanches of not running processes.