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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.