Vulnerable Asset Management? The Case of Mutual Funds

Is the asset management sector a source of financial instability? This paper develops a macroprudential stress test model which enables the quantification of systemic vulnerabilities due to fire sales in this sector. The model incorporates the flow-performance relationship as an additional funding shock in the model of Greenwood et al. (2015). Using data on US equity mutual funds for the period 2003–14, we quantify both fund-specific and system-wide (aggregate) vulnerabilities to fire sales over time. Our main finding is that the aggregate vulnerability, according to this propagation mechanism, is relatively small in comparison with values reported for banks. However, during periods of low market liquidity, the vulnerability of the system can become significant. Our paper also contributes to the ongoing discussion on the SIFI designation of Non-Bank Non-Insurer entities. For this purpose, we explore the determinants of individual funds’ vulnerability to systemic asset liquidations, highlighting the importance of size and portfolio illiquidity. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation

Barium cloud evolution and striation formation in the magnetospheric release on September 21, 1971

The joint NASA-Max Planck Institute Barium Ion Cloud (BIC) Experiment on September 21, 1971 involved the release of 1.7 kg of neutral barium at an altitude of 31,500 km at a latitude of 6.93 deg N. and a longitude of 74.40 deg W. A theoretical model describing the barium neutral cloud expansion and the ion cloud formation is developed. The mechanism of formation of the striational features observed in the release is also discussed. Two candidate instabilities, which may contribute to striation formation, are examined. The drift instability stemming from the outwardly directed drag force exerted on the ions by the outstreaming neutrals is rejected on the grounds that the ion density is too low during the collision-dominated phase of the cloud expansion to support this kind of instability. The joint action of Rayleigh-Taylor and flute instabilities plausibly accounts for the observed striational structure. This same mechanism may well be operative at times of sudden injection of plasma into the inner magnetosphere during geomagnetic storms and may thus contribute to the formation of field-alined inhomogeneities which serve as whistler ducts

Results of magnetospheric barium ion cloud experiment of 1971

The barium ion cloud experiment involved the release of about 2 kg of barium at an altitude of 31 482 km, a latitude of 6.926 N., and a longitude of 74.395 W. Significant erosion of plasma from the main ion core occurred during the initial phase of the ion cloud expansion. From the motion of the outermost striational filaments, the electric field components were determined to be 0.19 mV/m in the westerly direction and 0.68 mV/m in the inward direction. The differences between these components and those measured from balloons flown in the proximity of the extremity of the field line through the release point implied the existence of potential gradients along the magnetic field lines. The deceleration of the main core was greater than theoretically predicted. This was attributed to the formation of a polarization wake, resulting in an increase of the area of interaction and resistive dissipation at ionospheric levels. The actual orientation of the magnetic field line through the release point differed by about 10.5 deg from that predicted by magnetic field models that did not include the effect of ring current

Neutron capture cross sections of tungsten and rhenium Annual summary report

Neutron capture cross sections for natural tungsten and rheniu

Diplogrammus randalli (Pisces: Callionymidae), a new Lessepsian migrant recorded from the Mediterranean Sea

A new Lessepsian migrant, Diplogrammus randalli Fricke 1983, is recorded for the first time from the Mediterranean Sea. This species is easily distinguished from other Mediterranean callionymid fishes by its ventrolateral fold skin below the lateral line and its preopercular spine shape

Pulsatile velocity of blood in the pulmonary artery of dogs: measurement by an ultrasound gauge

An advanced model of an ultrasound flow gauge, mounted on a N7 catheter was used to measure flow velocity in the pulmonary artery of closed-chest dogs. The recorded flow signals were calibrated in cm/sec by determining stroke volume (by dye dilution) and diameter of the pulmonary artery (by angiography). The influence of positive and negative inotropic drugs on velocity and acceleration is reporte

A Semiclassical Approach to Level Crossing in Supersymmetric Quantum Mechanics

Much use has been made of the techniques of supersymmetric quantum mechanics (SUSY QM) for studying bound-state problems characterized by a superpotential $\phi(x)$. Under the analytic continuation $\phi(x) \to i\phi(x)$, a pair of superpartner bound-state problems is transformed into a two-state level-crossing problem in the continuum. The description of matter-enhanced neutrino flavor oscillations involves a level-crossing problem. We treat this with the techniques of supersymmetric quantum mechanics. For the benefit of those not familiar with neutrino oscillations and their description, enough details are given to make the rest of the paper understandable. Many other level-crossing problems in physics are of exactly the same form. Particular attention is given to the fact that different semiclassical techniques yield different results. The best result is obtained with a uniform approximation that explicitly recognizes the supersymmetric nature of the system.Comment: 15 pages, Latex with lamuphys and psfig macros. Talk by first Author at the UIC "Supersymmetry and Integrable Models Workshop", Chicago, June 12-14, 1997; proceedings to be published in Springer Lecture Notes in Physics, H. Aratyn et al., eds. This paper also available at http://nucth.physics.wisc.edu/preprint

Elliptic aspects of statistical mechanics on spheres

Our earlier results on the temperature inversion properties and the ellipticisation of the finite temperature internal energy on odd spheres are extended to orbifold factors of odd spheres and then to other thermodynamic quantities, in particular to the specific heat. The behaviour under modular transformations is facilitated by the introduction of a modular covariant derivative and it is shown that the specific heat on any odd sphere can be expressed in terms of just three functions. It is also shown that the free energy on the circle can be written elliptically.Comment: 22 pages. JyTe

J1154+2443: a low-redshift compact star-forming galaxy with a 46 per cent leakage of Lyman continuum photons

We report the detection of the Lyman continuum (LyC) radiation of the compact star-forming galaxy (SFG) J1154+2443 observed with the Cosmic Origins Spectrograph (COS) onboard the Hubble Space Telescope. This galaxy, at a redshift of z=0.3690, is characterized by a high emission-line flux ratio O32=[OIII]5007/[OII]3727=11.5. The escape fraction of the LyC radiation fesc(LyC) in this galaxy is 46 per cent, the highest value found so far in low-redshift SFGs and one of the highest values found in galaxies at any redshift. The narrow double-peaked Lya emission line is detected in the spectrum of J1154+2443 with a separation between the peaks Vsep of 199 km/s, one of the lowest known for Lya-emitting galaxies, implying a high fesc(Lya). Comparing the extinction-corrected Lya/Hb flux ratio with the case B value we find fesc(Lya) = 98 per cent. Our observations, combined with previous detections in the literature, reveal an increase of O32 with increasing fesc(LyC). We also find a tight anticorrelation between fesc(LyC) and Vsep. The surface brightness profile derived from the COS acquisition image reveals a bright star-forming region in the centre and an exponential disc in the outskirts with a disc scale length alpha=1.09 kpc. J1154+2443, compared to other known low-redshift LyC leakers, is characterized by the lowest metallicity, 12+logO/H=7.65+/-0.01, the lowest stellar mass M*=10^8.20 Msun, a similar star formation rate SFR=18.9 Msun/yr and a high specific SFR of 1.2x10^-7 yr^-1.Comment: 16 pages, 8 figures, accepted for publication in MNRAS. arXiv admin note: text overlap with arXiv:1605.0516