Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

We study the functioning and possible breakdown of the interbank market due to asymmetric information about counterparty risk. We allow for privately observed shocks to the distribution of asset risk across banks after the initial portfolio of liquid and illiquid investments is chosen. Our model generates sev- eral interbank market regimes: 1) low interest rate spread and full participation; 2) elevated spread and adverse selection; and 3) liquidity hoarding leading to a market breakdown. The regimes are in line with observed developments in the interbank market before and during the 2007-09 financial crisis. We use the model to examine various policy responses.Financial crisis;Interbank market;Liquidity;Asymmetric in- formation

Liquidity Hoarding and Interbank Market Spreads:The Role of Counterparty Risk

We study the functioning and possible breakdown of the interbank market due to asymmetric information about counterparty risk. We allow for privately observed shocks to the distribution of asset risk across banks after the initial portfolio of liquid and illiquid investments is chosen. Our model generates sev- eral interbank market regimes: 1) low interest rate spread and full participation; 2) elevated spread and adverse selection; and 3) liquidity hoarding leading to a market breakdown. The regimes are in line with observed developments in the interbank market before and during the 2007-09 financial crisis. We use the model to examine various policy responses

Kink far below the Fermi level reveals new electron-magnon scattering channel in Fe

Many properties of real materials can be modeled using ab initio methods within a single-particle picture. However, for an accurate theoretical treatment of excited states, it is necessary to describe electron-electron correlations including interactions with bosons: phonons, plasmons, or magnons. In this work, by comparing spin- and momentum-resolved photoemission spectroscopy measurements to many-body calculations carried out with a newly developed first-principles method, we show that a kink in the electronic band dispersion of a ferromagnetic material can occur at much deeper binding energies than expected (E_b=1.5 eV). We demonstrate that the observed spectral signature reflects the formation of a many-body state that includes a photohole bound to a coherent superposition of renormalized spin-flip excitations. The existence of such a many-body state sheds new light on the physics of the electron-magnon interaction which is essential in fields such as spintronics and Fe-based superconductivity.Comment: 6 pages, 2 figure

Optimization of quasi-normal eigenvalues for Krein-Nudelman strings

The paper is devoted to optimization of resonances for Krein strings with total mass and statical moment constraints. The problem is to design for a given $\alpha \in \R$ a string that has a resonance on the line \alpha + \i \R with a minimal possible modulus of the imaginary part. We find optimal resonances and strings explicitly.Comment: 9 pages, these results were extracted in a slightly modified form from the earlier e-print arXiv:1103.4117 [math.SP] following an advise of a journal's refere

Signal modeling of high-purity Ge detectors with a small read-out electrode and application to neutrinoless double beta decay search in Ge-76

The GERDA experiment searches for the neutrinoless double beta decay of Ge-76 using high-purity germanium detectors enriched in Ge-76. The analysis of the signal time structure provides a powerful tool to identify neutrinoless double beta decay events and to discriminate them from gamma-ray induced backgrounds. Enhanced pulse shape discrimination capabilities of "Broad Energy Germanium" detectors with a small read-out electrode have been recently reported. This paper describes the full simulation of the response of such a detector, including the Monte Carlo modeling of radiation interaction and subsequent signal shape calculation. A pulse shape discrimination method based on the ratio between the maximum current signal amplitude and the event energy applied to the simulated data shows quantitative agreement with the experimental data acquired with calibration sources. The simulation has been used to study the survival probabilities of the decays which occur inside the detector volume and are difficult to assess experimentally. Such internal decay events are produced by the cosmogenic radio-isotopes Ge-68 and Co-60 and the neutrinoless double beta decay of Ge-76. Fixing the experimental acceptance of the double escape peak of the 2.614 MeV photon to 90%, the estimated survival probabilities at Qbb = 2.039 MeV are (86+-3)% for Ge-76 neutrinoless double beta decays, (4.5+-0.3)% for the Ge-68 daughter Ga-68, and (0.9+0.4-0.2)% for Co-60 decays.Comment: 27 pages, 17 figures. v2: fixed typos and references. Submitted to JINS

Status of the PICASSO Project

The Picasso project is a dark matter search experiment based on the superheated droplet technique. Preliminary runs performed at the Picasso Lab in Montreal have showed the suitability of this detection technique to the search for weakly interacting cold dark matter particles. In July 2002, a new phase of the project started. A batch of six 1-liter detectors with an active mass of approximately 40g was installed in a gallery of the SNO observatory in Sudbury, Ontario, Canada at a depth of 6,800 feet (2,070m). We give a status report on the new experimental setup, data analysis, and preliminary limits on spin-dependent neutralino interaction cross section.Comment: 3 pages, 2 figures. To appear in the Proceedings of the TAUP 2003 conference, 5-9 September, 2003, University of Washington, Seattle, US

Dark Matter Spin-Dependent Limits for WIMP Interactions on 19-F by PICASSO

The PICASSO experiment at SNOLAB reports new results for spin-dependent WIMP interactions on $^{19}$F using the superheated droplet technique. A new generation of detectors and new features which enable background discrimination via the rejection of non-particle induced events are described. First results are presented for a subset of two detectors with target masses of $^{19}$F of 65 g and 69 g respectively and a total exposure of 13.75 $\pm$ 0.48 kgd. No dark matter signal was found and for WIMP masses around 24 GeV/c$^2$ new limits have been obtained on the spin-dependent cross section on $^{19}$F of $\sigma_F$ = 13.9 pb (90% C.L.) which can be converted into cross section limits on protons and neutrons of $\sigma_p$ = 0.16 pb and $\sigma_n$ = 2.60 pb respectively (90% C.L). The obtained limits on protons restrict recent interpretations of the DAMA/LIBRA annual modulations in terms of spin-dependent interactions.Comment: Revised version, accepted for publication in Phys. Lett. B, 20 pages, 7 figure