Paweł Sieczka
The Lehman Brothers Effect and Bankruptcy Cascades.
Fri, 02/05/2010 - 16:01 — SomNambulAuthors: Didier Sornette, Paweł Sieczka, Janusz A. Hołyst
Subjects: Risk Management
AbstractInspired by the bankruptcy of Lehman Brothers and its consequences on the
global financial system, we develop a simple model in which the Lehman default
event is quantified as having an almost immediate effect in worsening the
credit worthiness of all financial institutions in the economic network. In our
stylized description, all properties of a given firm are captured by its
effective credit rating, which follows a simple dynamics of co-evolution with
the credit ratings of the other firms in our economic network.Collective firm bankruptcies and phase transition in rating dynamics.
Thu, 10/01/2009 - 00:35 — SomNambulAuthors: Paweł Sieczka, Janusz A. Hołyst
Subjects: Risk Management
AbstractWe present a simple model of firm rating evolution. We consider two sources
of defaults: individual dynamics of economic development and Potts-like
interactions between firms. We show that such a defined model leads to phase
transition, which results in collective defaults. The existence of the
collective phase depends on the mean interaction strength. For small
interaction strength parameters, there are many independent bankruptcies of
individual companies. For large parameters, there are giant collective defaults
of firm clusters.
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