Dresden 2009 – wissenschaftliches Programm

Bereiche | Tage | Auswahl | Suche | Downloads | Hilfe

AGSOE: Arbeitsgruppe Physik sozio-ökonomischer Systeme

AGSOE 3: Financial Markets and Risk Management II

AGSOE 3.4: Vortrag

Montag, 23. März 2009, 11:45–12:00, BAR 205

Measure of default risk in insurance companies: Do ratings fail? — •Christoph Hamer, Heiko Frings und Ralf Engelshove — Solcency Fabrik, Dürener Straße 295, 50935 Köln

Recent events on the financial markets indicate the need for a better understanding of certain systematic behaviour pattern in networks of risk spread.

Our approach focuses mainly on the relations between insurances and reinsurances, especially on the correlation of defaults on the probability of further default risks. This includes bilateral dependencies as well as external ratings. The aim of our work is to derive a realistic Boolean representation of these interactions. We study cascades of defaults depending on network topologies and seek to support our results by real world data.