5 research outputs found
FSR584 - a new globular cluster in the Galaxy?
We investigate the nature of the recently catalogued star cluster candidate
FSR584, which is projected in the direction of the molecular cloud W3 and may
be the nearest globular cluster to the Sun. 2MASS CMDs, the stellar radial
density profile, and proper motions are employed to derive fundamental and
structural parameters. The CMD morphology and the radial density profile show
that FSR584 is an old star cluster. With proper motions, the properties of
FSR584 are consistent with a metal-poor globular cluster with a well-defined
turnoff and evidence of a blue horizontal-branch. FSR584 might be a
Palomar-like halo globular cluster that is moving towards the Galactic plane.
The distance from the Sun is approx 1.4kpc, and it is located at approx 1kpc
outside the Solar circle. The radial density profile is characterized by a core
radius of rc=0.3+/-0.1 pc. However, we cannot exclude the possibility of an old
open cluster. Near-infrared photometry coupled to proper motions support the
scenario where FSR584 is a new globular cluster in the Galaxy. The absorption
is A_V=9.2+/-0.6$, which makes it a limiting object in the optical and explains
why it has so far been overlookedComment: Astronomy and Astrophysics, accepted. 6 pages and 6 figure
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach
Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach
We study a model for default contagion in intensity-based credit risk and
its consequences for pricing portfolio credit derivatives. The model is specified through
default intensities which are assumed to be constant between defaults, but which can
jump at the times of defaults. The model is translated into a Markov jump process
which represents the default status in the credit portfolio. This makes it possible to
use matrix-analytic methods to derive computationally tractable closed-form expressions
for single-name credit default swap spreads and kth-to-default swap spreads. We ”semicalibrate”
the model for portfolios (of up to 15 obligors) against market CDS spreads
and compute the corresponding kth-to-default spreads. In a numerical study based on
a synthetic portfolio of 15 telecom bonds we study a number of questions: how spreads
depend on the amount of default interaction; how the values of the underlying market
CDS-prices used for calibration influence kth-th-to default spreads; how a portfolio with
inhomogeneous recovery rates compares with a portfolio which satisfies the standard assumption
of identical recovery rates; and, finally, how well kth-th-to default spreads in a
nonsymmetric portfolio can be approximated by spreads in a symmetric portfolio