Systemic risk determinants in the European banking industry during financial crises, 2006-2012

The recent financial turmoil has stimulated a rich debate in banking and financial literature on the identification of systemic risk determinants and devices to forecast and prevent crises. This paper explores the contribution of corporate variables to systemic risk using the CoVaR approach (Adrian and Brunnermeier, 2016). Using balanced panel data on 141 European banks from 24 countries, which were listed from 2006Q1 to 2012Q4, we investigated the impact of corporate variables during the three regimes that characterised the European banking sector-the subprime crisis (2007Q3-2008Q3), the European Great Financial Depression (2008Q4-2010Q2), and the sovereign debt crisis (2010Q3-2012Q4). Our results show that size did not play a significant role in spreading systemic risk, while maturity mismatch did. However, the nature and intensity of these two determinants varied across the three regimes

Stochastic Master Equations in Thermal Environment

We derive the stochastic master equations which describe the evolution of open quantum systems in contact with a heat bath and undergoing indirect measurements. These equations are obtained as a limit of a quantum repeated measurement model where we consider a small system in contact with an infinite chain at positive temperature. At zero temperature it is well-known that one obtains stochastic differential equations of jump-diffusion type. At strictly positive temperature, we show that only pure diffusion type equations are relevant

Complex Obtuse Random Walks and their Continuous-Time Limits

We study a particular class of complex-valued random variables and their associated random walks: the complex obtuse random variables. They are the generalization to the complex case of the real-valued obtuse random variables which were introduced in \cite{A-E} in order to understand the structure of normal martingales in \RR^n.The extension to the complex case is mainly motivated by considerations from Quantum Statistical Mechanics, in particular for the seek of a characterization of those quantum baths acting as classical noises. The extension of obtuse random variables to the complex case is far from obvious and hides very interesting algebraical structures. We show that complex obtuse random variables are characterized by a 3-tensor which admits certain symmetries which we show to be the exact 3-tensor analogue of the normal character for 2-tensors (i.e. matrices), that is, a necessary and sufficient condition for being diagonalizable in some orthonormal basis. We discuss the passage to the continuous-time limit for these random walks and show that they converge in distribution to normal martingales in \CC^N. We show that the 3-tensor associated to these normal martingales encodes their behavior, in particular the diagonalization directions of the 3-tensor indicate the directions of the space where the martingale behaves like a diffusion and those where it behaves like a Poisson process. We finally prove the convergence, in the continuous-time limit, of the corresponding multiplication operators on the canonical Fock space, with an explicit expression in terms of the associated 3-tensor again

Density functional theory of superconductivity in doped tungsten oxides

We apply density functional theory for superconductors (SCDFT) to doped tungsten oxide in three forms: electrostatically doped WO3, perovskite WO3−xFx, and hexagonal CsxWO3. We achieve a consistent picture in which the experimental superconducting transition temperature Tc is reproduced, and superconductivity is understood as a weak-coupling state sustained by soft vibrational modes of the WO6 octahedra. SCDFT simulations of CsxWO3 allow us to explain the anomalous Tc behavior observed in most tungsten bronzes, where Tc decreases with increasing carrier density. Here, the opening of structural channels to host Cs atoms induces a softening of strongly coupled W-O modes. By increasing the Cs content, these modes are screened and Tc is strongly reduced

Entanglement of Bipartite Quantum Systems driven by Repeated Interactions

We consider a non-interacting bipartite quantum system $\mathcal H_S^A\otimes\mathcal H_S^B$ undergoing repeated quantum interactions with an environment modeled by a chain of independant quantum systems interacting one after the other with the bipartite system. The interactions are made so that the pieces of environment interact first with $\mathcal H_S^A$ and then with $\mathcal H_S^B$. Even though the bipartite systems are not interacting, the interactions with the environment create an entanglement. We show that, in the limit of short interaction times, the environment creates an effective interaction Hamiltonian between the two systems. This interaction Hamiltonian is explicitly computed and we show that it keeps track of the order of the successive interactions with $\mathcal H_S^A$ and $\mathcal H_S^B$. Particular physical models are studied, where the evolution of the entanglement can be explicitly computed. We also show the property of return of equilibrium and thermalization for a family of examples

Stochastic Schr\"odinger equations with coloured noise

A natural non-Markovian extension of the theory of white noise quantum trajectories is presented. In order to introduce memory effects in the formalism an Ornstein-Uhlenbeck coloured noise is considered as the output driving process. Under certain conditions a random Hamiltonian evolution is recovered. Moreover, non-Markovian stochastic Schr\"odinger equations which unravel non-Markovian master equations are derived.Comment: 4pages, revte

On the (2,3)-generation of the finite symplectic groups

This paper is a new important step towards the complete classification of the finite simple groups which are $(2,3)$-generated. In fact, we prove that the symplectic groups $Sp_{2n}(q)$ are $(2,3)$-generated for all $n\geq 4$. Because of the existing literature, this result implies that the groups $PSp_{2n}(q)$ are $(2,3)$-generated for all $n\geq 2$, with the exception of $PSp_4(2^f)$ and $PSp_4(3^f)$

More on regular subgroups of the affine group

This paper is a new contribution to the study of regular subgroups of the affine group $AGL_n(F)$, for any field $F$. In particular we associate to any partition $\lambda\neq (1^{n+1})$ of $n+1$ abelian regular subgroups in such a way that different partitions define non-conjugate subgroups. Moreover, we classify the regular subgroups of certain natural types for $n\leq 4$. Our classification is equivalent to the classification of split local algebras of dimension $n+1$ over $F$. Our methods, based on classical results of linear algebra, are computer free