A Quantile Monte Carlo approach to measuring extreme credit risk

We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural credit model. Two research questions are addressed in this study. The first question is whether there is a significant difference in distance to default (DD) between the 50% and 95% quantiles as measured by the QMC model. A substantial difference in DD between the two quantiles was found. The second research question is whether relative industry risk changes between the pre-GFC and GFC periods at the extreme quantile. Changes were found with the worst deterioration experienced by Energy, Utilities, Consumer Discretionary and Financials; and the strongest improvement shown by Telecommunication, IT and Consumer goods. Overall, we find a significant increase in credit risk for all sectors using this model as compared to the traditional Merton approach. These findings could be important to banks and regulators in measuring and providing for credit risk in extreme circumstances.Asset Selection, Factor Model, DEA, Quantile Regression

Waveforms for Gravitational Radiation from Cosmic String Loops

We obtain general formulae for the plus- and cross- polarized waveforms of gravitational radiation emitted by a cosmic string loop in transverse, traceless (synchronous, harmonic) gauge. These equations are then specialized to the case of piecewise linear loops, and it is shown that the general waveform for such a loop is a piecewise linear function. We give several simple examples of the waveforms from such loops. We also discuss the relation between the gravitational radiation by a smooth loop and by a piecewise linear approximation to it.Comment: 16 pages, 6 figures, Revte

Maximally Symmetric Spin-Two Bitensors on S3S^3 and H3H^3

The transverse traceless spin-two tensor harmonics on $S^3$ and $H^3$ may be denoted by $T^{(kl)}{}_{ab}$. The index $k$ labels the (degenerate) eigenvalues of the Laplacian $\square$ and $l$ the other indices. We compute the bitensor $\sum_l T^{(kl)}{}_{ab}(x) T^{(kl)}{}_{a'b'}(x')^*$ where $x,x'$ are distinct points on a sphere or hyperboloid of unit radius. These quantities may be used to find the correlation function of a stochastic background of gravitational waves in spatially open or closed Friedman-Robertson-Walker cosmologies.Comment: 12 pages, RevTeX, uuencoded compressed .tex file, minor typos correcte

Consistent deformations method applied to a topological coupling of antisymmetric gauge fields in D=3

In this work we use the method of consistent deformations of the master equation by Barnich and Henneaux in order to prove that an abelian topological coupling between a zero and a two form fields in D=3 has no nonabelian generalization. We conclude that a topologically massive model involving the Kalb-Ramond two-form field does not admit a nonabelian generalization. The introduction of a connection-type one form field keeps the previous result.Comment: 8 pages. To appear in Physics Letters

Topologically massive nonabelian BF models in arbitrary space-time dimensions

This work extends to the D-dimensional space-time the topological mass generation mechanism of the nonabelian BF model in four dimensions. In order to construct the gauge invariant nonabelian kinetic terms for a (D-2)-form B and a 1-form A, we introduce an auxiliary (D-3)-form V. Furthermore, we obtain a complete set of BRST and anti-BRST transformation rules of the fields using the so called horizontality condition, and construct a BRST/anti-BRST invariant quantum action for the model in D-dimensional space-time.Comment: 7 page

Field redefinitions and massive BF models in arbitrary space-time dimensions

We show that the topological massive BF theories can be written as a pure BF term through field redefinitions. The fields are rewritten as power expansion series in the inverse of the mass parameter $m$. We also give a cohomological justification of this expansion through BRST framework. In this approach the BF term can be seen as a topological generator for massive BF theories.Comment: Dedicated to the memory of my father Added some references and corrected typo

Drainage evolution in the Polish Sudeten Foreland in the context of European fluvial archives

Detailed study of subsurface deposits in the Polish Sudeten Foreland, particularly with reference to provenance data, has revealed that an extensive preglacial drainage system developed there in the Pliocene–Early Pleistocene, with both similarities and differences in comparison with the present-day Odra (Oder) system. This foreland is at the northern edge of an intensely deformed upland, metamorphosed during the Variscan orogeny, with faulted horsts and grabens reactivated in the Late Cenozoic. The main arm of preglacial drainage of this area, at least until the early Middle Pleistocene, was the Palaeo–Nysa Kłodzka, precursor of the Odra left-bank tributary of that name. Significant preglacial evolution of this drainage system can be demonstrated, including incision into the landscape, prior to its disruption by glaciation in the Elsterian (Sanian) and again in the early Saalian (Odranian), which resulted in burial of the preglacial fluvial archives by glacial and fluvioglacial deposits. No later ice sheets reached the area, in which the modern drainage pattern became established, the rivers incising afresh into the landscape and forming post-Saalian terrace systems. Issues of compatibility of this record with the progressive uplift implicit in the formation of conventional terrace systems are examined, with particular reference to crustal properties, which are shown to have had an important influence on landscape and drainage evolution in the region

INSTRUCTIONS FOR OPERATING LBL FORMALDEHYDE SAMPLER

The LBL formaldehyde sampler consists of two parts: 1) a pump box and 2) a small refrigerator housing sampling bubblers. The pump box contains two pumps, a timer, a flow controller, an electrical cord, and a ten-foot piece of tubing to connect the refrigerator to the pump box. The small refrigerator contains four columns of bubbler sampling trains attached to a metal plate. Two sampling trains each are plumbed in parallel to two sampling ports on the back of the refrigerator. The two sampling lines supplied are to be attached to these ports to allow two locations to be sampled at once (usually one indoor and one outdoor). The refrigerator also contains a rack for holding bubbler tubes. In the sampling process, air is drawn through a sampling line attached to the fitting at the back of the refrigerator and into a prlmary bubbler containing a trapping solution. This trapping solution can be distilled water or an aqueous solution of some compound that reacts with formaldehyde. From this bubbler the air goes through a second bubbler containing the same trapping solution as the first bubbler. (To maintain sample integrity, all parts that the air sample contacts are made of Teflon, polypropylene, and stainless steel.) The air then goes into the third bubbler, which contains no liquid. This bubbler contains a hypodermic needle that serves as a flow-control orifice. The hypodermic needle, in conjunction with the flow controller in the pump box, ensures a constant a flow rate. The refrigerator contains four columns of these sets of three bubblers. After samples have been collected, the bubbler bottoms are detached and the contents of the first and second bubblers in each column are poured together, capped, and labeled. The use of a refrigerated primary and secondary bubbler whose contents are combined at the end of a sampling period ensures 95% collection efficiency. After the bubbler tubes are capped and labeled, they are stored either in the rack supplied in the refrigerator or in one of the styrofoam shipping boxes with some frozen blue ice. LBL has found that formaldehyde samples collected in water degrade significantly in a matter of hours if they are not kept cool, whereas refrigerated samples remain stable for as long as a month. Directions are provided for unpacking the apparatus, setting up sampling trains, performing the sampling, procedures after sampling, and shipping samples

Asymptotic behavior of w in general quintom model

For the quintom models with arbitrary potential $V=V(\phi,\sigma)$, the asymptotic value of equation of state parameter w is obtained by a new method. In this method, w of stable attractors are calculated by using the ratio (d ln V)/(d ln a) in asymptotic region. All the known results, have been obtained by other methods, are reproduced by this method as specific examples.Comment: 8 pages, one example is added, accepted for publication in Gen. Rel. Gra

Do primordial Lithium abundances imply there's no Dark Energy?

Explaining the well established observation that the expansion rate of the universe is apparently accelerating is one of the defining scientific problems of our age. Within the standard model of cosmology, the repulsive 'dark energy' supposedly responsible has no explanation at a fundamental level, despite many varied attempts. A further important dilemma in the standard model is the Lithium problem, which is the substantial mismatch between the theoretical prediction for 7-Li from Big Bang Nucleosynthesis and the value that we observe today. This observation is one of the very few we have from along our past worldline as opposed to our past lightcone. By releasing the untested assumption that the universe is homogeneous on very large scales, both apparent acceleration and the Lithium problem can be easily accounted for as different aspects of cosmic inhomogeneity, without causing problems for other cosmological phenomena such as the cosmic microwave background. We illustrate this in the context of a void model.Comment: 14 pages, 4 figures. v2: minor rearrangements in the text, comments and references expanded, results unchange