Berlin 2008 – wissenschaftliches Programm

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 13: Poster Session (posters on display 10:00-19:00)

AKSOE 13.1: Poster

Mittwoch, 27. Februar 2008, 17:30–19:00, Poster G

Phase transitions in operational risk — •Kartik Anand — Department of Mathematics, King's College London, London, UK

In this paper we explore the functional correlation approach to operational risk. We consider networks with heterogeneous 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 equilibrium conditions, expressions for the stationary states are also obtained. Consequences of the analytical theory developed 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 the operational to nonoperational phase via catastrophic breakdown. We find this feature to be robust against variation of the microscopic modeling assumptions.