Decay of super-currents in condensates in optical lattices

In this paper we discuss decay of superfluid currents in boson lattice systems due to quantum tunneling and thermal activation mechanisms. We derive asymptotic expressions for the decay rate near the critical current in two regimes, deep in the superfluid phase and close to the superfluid-Mott insulator transition. The broadening of the transition at the critical current due to these decay mechanisms is more pronounced at lower dimensions. We also find that the crossover temperature below which quantum decay dominates is experimentally accessible in most cases. Finally, we discuss the dynamics of the current decay and point out the difference between low and high currents.Comment: Contribution to the special issue of Journal of Superconductivity in honor of Michael Tinkham's 75th birthda

AN ANALYSIS AND CRITIQUE OF THE BIS PROPOSAL ON CAPITAL ADEQUACY AND RATINGS

This paper has examined two specific aspects of stage 1 of the (BIS's) Bank for International Settlement's proposed reforms to the 8% risk-based capital ratio. We argue that relying on "traditional" agency ratings could produce cyclically lagging rather leading capital requirements, resulting in an enhanced rather than reduced degree of instability in the banking and financial system. Despite this possible shortcoming, we believe that sensible risk based weighting of capital requirements is a step in the right direction. The current risk based bucketing proposal, which is tied to external agency ratings, or possibly to internal bank ratings, however, lacks a sufficient degree of granularity. In particular, lumping A and BBB (investment grade corporate borrowers) together with BB and B (below investment grade borrowers) severely misprices risk within that bucket and calls, at a minimum, for that bucket to be split into two. We examine the default loss experience on corporate bonds for the period 1981-1999 and propose a revised weighting system which more closely resembles the actual loss experience on credit assets

Defaults and Returns on High Yield Bonds: The Year 2002 in Review and the Market Outlook

The year 2002 was remarkably difficult on many fronts for most financial markets. For the high yield bond market, it was again a year of record amounts of defaults which contributed to low recovery rates and slightly negative absolute returns. The default rate registered a massive 12.8%, based on $757 billion outstanding. Despite these record default totals and rates, the market’s decline was orderly with little panic and actually ended the year with reduced defaults and highly positive returns in the fourth quarter. Default amounts registered its fourth consecutive record year and almost topped$100 billion ($97.9 billion) for the first time. This total was more than 52 This report documents and comments upon the high yield bond market’s risk and return performance over the period 1971-2002. We will present traditional, dollar-denominated default rates as well as our own mortality rate statistics. Default rate analysis will be complemented by discussion on corporate bankruptcies and the immense impact of fallen angels on the high yield market. We conclude with our annual estimate of the size of the distressed debt market and our forecast for defaults in 2003. Our analysis will include an update on our default recovery forecasting model which was extremely accurate in estimating 2002’s recovery rate of about 25 Based on the fourth quarter’s reduction in default rate to 1.82 In 2002, there was$65.6 billion in new high yield bond issuance, down from 2001’s $88.2 billion. We expect new issuance in 2003 to escalate unless the economic/political scene motivates another flight to quality in our financial markets

AN ANALYSIS AND CRITIQUE OF THE BIS PROPOSAL ON CAPITAL ADEQUACY AND RATINGS

This paper has examined two specific aspects of stage 1 of the (BIS’s) Bank for International Settlement’s proposed reforms to the 8% risk-based capital ratio. We argue that relying on “traditional” agency ratings could produce cyclically lagging rather leading capital requirements, resulting in an enhanced rather than reduced degree of instability in the banking and financial system. Despite this possible shortcoming, we believe that sensible risk based weighting of capital requirements is a step in the right direction. The current risk based bucketing proposal, which is tied to external agency ratings, or possibly to internal bank ratings, however, lacks a sufficient degree of granularity. In particular, lumping A and BBB (investment grade corporate borrowers) together with BB and B (below investment grade borrowers) severely misprices risk within that bucket and calls, at a minimum, for that bucket to be split into two. We examine the default loss experience on corporate bonds for the period 1981-1999 and propose a revised weighting system which more closely resembles the actual loss experience on credit assets

Credit Ratings and the Bis Reform Agenda

The authors are the Max L. Heine and John M. Schiff Professors of Finance, Stern School of Business, NYU. This is an updated and revised paper from the authors’ report on "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings," (submitted to the BIS and published in the Journal of Banking & Finance, Vol. 25, #1, January, 2001). The authors wish to thank Sreedar Bharath for his computational assistance and Robyn Vanterpool of the NYU Salomon Center for her coordination. This paper was first prepared for the NYU Salomon Center/University of Maryland research project on "The Role of Credit Reporting Systems in the International Economy," sponsored by the Center for International Political Economy. It was prepared for the project’s conference in Washington D.C. on March 1-2, 2001 at the headquarters of the World Bank

An Integrated Pricing Model for Defaultable Loans and Bonds

In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system. In this paper we present an integrated model, based on a reduced pricing approach, for market and credit risk. Its main features are those of being mark to market and that the spread term structure by rating class is contingent on the seniority of debt within an arbitrage-free framework. We introduce issues such as, the integration of market and credit risk, the use of stochastic recovery rates and recovery by seniority. Moreover, we will characterise default risk by estimating migration risk through a "mortality rate", actuarial based, approach. The resultant probabilities will be the base for determining multi-period risk-neutral transition probability that allow pricing of risky debt in the trading and banking book

Superfluid-insulator transition in a moving system of interacting bosons

We analyze stability of superfluid currents in a system of strongly interacting ultra-cold atoms in an optical lattice. We show that such a system undergoes a dynamic, irreversible phase transition at a critical phase gradient that depends on the interaction strength between atoms. At commensurate filling, the phase boundary continuously interpolates between the classical modulation instability of a weakly interacting condensate and the equilibrium quantum phase transition into a Mott insulator state at which the critical current vanishes. We argue that quantum fluctuations smear the transition boundary in low dimensional systems. Finally we discuss the implications to realistic experiments.Comment: updated refernces and introduction, minor correction