Dresden 2009 – wissenschaftliches Programm

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AGSOE: Arbeitsgruppe Physik sozio-ökonomischer Systeme

AGSOE 3: Financial Markets and Risk Management II

AGSOE 3.3: Vortrag

Montag, 23. März 2009, 11:15–11:45, BAR 205

Collective firm bankruptcies and phase transition in rating dynamics — •Paweł Sieczka and Janusz Hołyst — Faculty of Physics, Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland

We present a simple model of firm rating evolution and resulting bankruptcies, taking into account two sources of defaults: individual dynamics of economic development and ordering interactions between firms. We show that such a defined model leads to phase transition, which results in collective defaults.

Two phases can be observed in the system: the paramagnetic phase of independent bankruptcies and the ferromagnetic phase of collective behavior. The mean interaction between firms decides which of these two scenarios is realized.