How Many Down? Toward Understanding Systematic Risk in Networks
Event details
| Date | 04.06.2013 |
| Hour | 10:00 › 11:00 |
| Speaker | Prof. Jens Grossklags, Pennsylvania State University |
| Location | |
| Category | Conferences - Seminars |
The systematic risk of a networked system depends to a large extent on the ways in which the network is connected. In this talk, I will discuss the connection between a network's systematic risk and its topology, using a model of risk propagation from the literature on interdependent security games, and focusing on the loss distribution in terms of the number of compromised nodes. I will show that it is NP-hard to compute this loss distribution for an arbitrary network topology. Nevertheless, it is possible to derive efficient formulae for loss distributions resulting from homogeneous, star, and E-R random topologies. Further, I will introduce a simulation algorithm for approximating the loss distribution in general. Applying the simulation methodology to the study of scale-free networks, we find systematic risks which distinguish these networks substantively from even their own random subnets. This implies on the one hand, that a random subnet of a network with large systematic risk may still be insurable. On the other hand, the true systematic risk of a networked system may not be discoverable by risk assessment methods, such as incident reporting, that are based on subsampling.
Links
Practical information
- General public
- Free
Organizer
- SuRI 2013
Contact
- Simone Muller