Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk?

A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of their exposures, their implementation restricts the liquidity that institutions can access in an otherwise centralized pool. We address the question of how this mechanism impacts trade prices and volatility, both empirically and via a new model of trading with CCLs. We find empirically that CCLs cause little impact on trade. However, our model highlights that in extreme situations, CCLs could serve to destabilize prices and thereby influence systemic risk

A learning object success story

This paper outlines an approach to designing a course entirely in learning objects. It provides a theoretical basis for the design and then presents evaluation data from a master’s level course using this design. It also describes several re-uses of the learning objects on other courses and in different contexts. Each learning object is conceived as a whole learning experience, thus avoiding many of the problems associated with assembling components of disparate kinds

Scalar gain interpretation of large order filters

A technique is developed which demonstrates how to interpret a large fully-populated filter gain matrix as a set of scalar gains. The inverse problem is also solved, namely, how to develop a large-order filter gain matrix from a specified set of scalar gains. Examples are given to illustrate the method

Modulated Amplitude Waves in Collisionally Inhomogeneous Bose-Einstein Condensates

We investigate the dynamics of an effectively one-dimensional Bose-Einstein condensate (BEC) with scattering length $a$ subjected to a spatially periodic modulation, $a=a(x)=a(x+L)$. This "collisionally inhomogeneous" BEC is described by a Gross-Pitaevskii (GP) equation whose nonlinearity coefficient is a periodic function of $x$. We transform this equation into a GP equation with constant coefficient $a$ and an additional effective potential and study a class of extended wave solutions of the transformed equation. For weak underlying inhomogeneity, the effective potential takes a form resembling a superlattice, and the amplitude dynamics of the solutions of the constant-coefficient GP equation obey a nonlinear generalization of the Ince equation. In the small-amplitude limit, we use averaging to construct analytical solutions for modulated amplitude waves (MAWs), whose stability we subsequently examine using both numerical simulations of the original GP equation and fixed-point computations with the MAWs as numerically exact solutions. We show that "on-site" solutions, whose maxima correspond to maxima of $a(x)$, are significantly more stable than their "off-site" counterparts.Comment: 25 pages, 10 figures (many with several parts), to appear in Physica D; higher resolution versions of some figures are available at http://www.its.caltech.edu/~mason/paper

Strong absorption and selective thermal emission from a mid-infrared metamaterial

We demonstrate thin-film metamaterials with resonances in the mid-infrared wavelength range. Our structures are numerically modeled and experimentally characterized by reflection and angularly-resolved thermal emission spectroscopy. We demonstrate strong and controllable absorption resonances across the mid-infrared wavelength range. In addition, the polarized thermal emission from these samples is shown to be highly selective and largely independent of emission angles from normal to 45 degrees. Experimental results are compared to numerical models with excellent agreement. Such structures hold promise for large-area, low-cost metamaterial coatings for control of gray- or black-body thermal signatures, as well as for possible mid-IR sensing applications.Comment: The following article has been submitted to Appl. Phys. Lett. After it is published, it will be found at http://apl.aip.org/. 14 pages including 4 figure page

On the electron-induced isotope fractionation in low temperature ³²O₂/³⁶O₂ ices—ozone as a case study

The formation of six ozone isotopomers and isotopologues, 16O16O16O, 18O18O18O, 16O16O18O, 18O18O16O, 16O18O16O, and 18O16O18O, has been studied in electron-irradiated solid oxygen 16O2 and 18O2 (1 : 1) ices at 11 K. Significant isotope effects were found to exist which involved enrichment of 18O-bearing ozone molecules. The heavy 18O18O18O species is formed with a factor of about six higher than the corresponding 16O16O16O isotopologue. Likewise, the heavy 18O18O16O species is formed with abundances of a factor of three higher than the lighter 16O16O18O counterpart. No isotope effect was observed in the production of 16O18O16O versus 18O16O18O. Such studies on the formation of distinct ozone isotopomers and isotopologues involving non-thermal, non-equilibrium chemistry by irradiation of oxygen ices with high energy electrons, as present in the magnetosphere of the giant planets Jupiter and Saturn, may suggest that similar mechanisms may contribute to the 18O enrichment on the icy satellites of Jupiter and Saturn such as Ganymede, Rhea, and Dione. In such a Solar System environment, energetic particles from the magnetospheres of the giant planets may induce non-equilibrium reactions of suprathermal and/or electronically excited atoms under conditions, which are quite distinct from isotopic enrichments found in classical, thermal gas phase reactions