A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis

We propose a new method for measuring the quality of banks credit portfolios. This method makes use of information impounded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a credit risk indicator (CRI), which is the perceived share of high risk exposures in a bank's portfolio. We estimate CRIs for the 150 largest U.S. bank holding companies and find that they have strong predictive power for the BHCs' performance during the subprime crisis, even after controlling for a variety of traditional asset quality proxies. Interestingly, we also find that the BHCs' aggregate CRI did not deteriorate since the beginning of the subprime crisis. This suggests that the market was aware of their (average) exposure to high risk credit.credit risk;asset quality;banks;subprime crisis

Defects in SiO2 as the possible origin of near interface traps in the SiC∕SiO2 system: A systematic theoretical study

A systematic study of the level positions of intrinsic and carbon defects in SiO2 is presented, based on density functional calculations with a hybrid functional in an alpha-quartz supercell. The results are analyzed from the point of view of the near interface traps (NIT), observed in both SiC/SiO2 and Si/SiO2 systems, and assumed to have their origins in the oxide. It is shown that the vacancies and the oxygen interstitial can be excluded as the origin of such NIT, while the silicon interstitial and carbon dimers give rise to gap levels in the energy range inferred from experiments. The properties of these defects are discussed in light of the knowledge about the SiC/SiO2 interface

Path integral Monte Carlo calculations of helium and hydrogen-helium plasma thermodynamics and of the deuterium shock Hugoniot

In this work we calculate the thermodynamic properties of hydrogen-helium plasmas with different mass fractions of helium by the direct path integral Monte Carlo method. To avoid unphysical approximations we use the path integral representation of the density matrix. We pay special attention to the region of weak coupling and degeneracy and compare the results of simulation with a model based on the chemical picture. Further with the help of calculated deuterium isochors we compute the shock Hugoniot of deuterium. We analyze our results in comparison with recent experimental and calculated data on the deuterium Hugoniot.Comment: 7 pages, 5 Postscript figures, accepted for publication in J. Phys. A: Math. Ge

Theoretical study of the mechanism of dry oxidation of 4H-SiC

Possible defect structures, arising from the interaction of O-2 molecules with an ideal portion of the SiC/SiO2 interface, have been investigated systematically using density functional theory. Based on the calculated total energies and assuming thermal quasiequilibrium during oxidation, the most likely routes leading to complete oxidation have been determined. The defect structures produced along these routes will remain at the interface in significant concentration when stopping the oxidation process. The results obtained for their properties are well supported by experimental findings about the SiC/SiO2 interface. It is found that carbon-carbon bonds can explain most of the observed interface states but not the high density near the conduction band of 4H-SiC

Path Integral Monte Carlo Simulation of the Low-Density Hydrogen Plasma

Restricted path integral Monte Carlo simulations are used to calculate the equilibrium properties of hydrogen in the density and temperature range of $9.83 \times 10^{-4}\rm \leq \rho \leq 0.153 \rm gcm^{-3}$ and $5000 \leq T \leq 250 000 \rm K$. We test the accuracy of the pair density matrix and analyze the dependence on the system size, on the time step of the path integral and on the type of nodal surface. We calculate the equation of state and compare with other models for hydrogen valid in this regime. Further, we characterize the state of hydrogen and describe the changes from a plasma to an atomic and molecular liquid by analyzing the pair correlation functions and estimating the number of atoms and molecules present.Comment: 12 pages, 21 figures, submitted for Phys. Rev.

Thermodynamics of hot dense H-plasmas: Path integral Monte Carlo simulations and analytical approximations

This work is devoted to the thermodynamics of high-temperature dense hydrogen plasmas in the pressure region between $10^{-1}$ and $10^2$ Mbar. In particular we present for this region results of extensive calculations based on a recently developed path integral Monte Carlo scheme (direct PIMC). This method allows for a correct treatment of the thermodynamic properties of hot dense Coulomb systems. Calculations were performed in a broad region of the nonideality parameter $\Gamma \lesssim 3$ and degeneracy parameter $n_e \Lambda^3 \lesssim 10$. We give a comparison with a few available results from other path integral calculations (restricted PIMC) and with analytical calculations based on Pade approximations for strongly ionized plasmas. Good agreement between the results obtained from the three independent methods is found.Comment: RevTex file, 21 pages, 5 ps-figures include