Clearing algorithms and network centrality

I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide shock. This result provides a formal explanation for earlier empirical results which showed that Katz-type centrality measures are closely related to contagiousness. It also allows assessing the assumptions that one is making when using such centrality measures as systemic risk indicators. I conclude that these assumptions should be considered too strong and that, from a theoretical perspective, clearing models should be given preference over centrality measures in systemic risk analyses

Derivatives and Credit Contagion in Interconnected Networks

The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models quantifying their impact on systemic risk are still missing. Here, we examine contagion through credit default swaps in a stylized economic network of corporates and financial institutions. We analyse such a system using a stochastic setting, which allows us to exploit limit theorems to exactly solve the contagion dynamics for the entire system. Our analysis shows that, by creating additional contagion channels, CDS can actually lead to greater instability of the entire network in times of economic stress. This is particularly pronounced when CDS are used by banks to expand their loan books (arguing that CDS would offload the additional risks from their balance sheets). Thus, even with complete hedging through CDS, a significant loan book expansion can lead to considerably enhanced probabilities for the occurrence of very large losses and very high default rates in the system. Our approach adds a new dimension to research on credit contagion, and could feed into a rational underpinning of an improved regulatory framework for credit derivatives.Comment: 26 pages, 7 multi-part figure

BEDT-TTF organic superconductors: the entangled role of phonons

We calculate the lattice phonons and the electron-phonon coupling of the organic superconductor \kappa-(BEDT-TTF)_2 I_3, reproducing all available experimental data connected to phonon dynamics. Low-frequency intra-molecular vibrations are strongly mixed to lattice phonons. Both acoustic and optical phonons are appreciably coupled to electrons through the modulation of the hopping integrals (e-LP coupling). By comparing the results relevant to superconducting \kappa- and \beta-(BEDT-TTF)_2 I_3, we show that electron-phonon coupling is fundamental to the pairing mechanism. Both e-LP and electron-molecular vibration (e-MV) coupling are essential to reproduce the critical temperatures. The e-LP coupling is stronger, but e-MV is instrumental to increase the average phonon frequency.Comment: 4 pages, including 4 figures. Published version, with Ref. 17 corrected after publicatio

Fermiology and superconductivity studies on the non-tetrachalcogenafulvalene structured organic superconductor beta-(BDA-TTP)_2SbF_6

The quantum oscillatory effect and superconductivity in a non-tetrachalcogenafulvalene (TCF) structure based organic superconductor beta-(BDA-TTP)_2SbF_6 are studied. Here the Shubnikov-de Haas effect (SdH) and angular dependent magnetoresistance oscillations (AMRO) are observed. The oscillation frequency associated with a cylindrical Fermi surface is found to be about 4050 tesla, which is also verified by the tunnel diode oscillator (TDO) measurement. The upper critical field Hc2 measurement in a tilted magnetic field and the TDO measurement in the mixed state reveal a highly anisotropic superconducting nature in this material. We compared physical properties of beta-(BDA-TTP)_2SbF_6 with typical TCF structure based quasi two-dimensional organic conductors. A notable feature of beta-(BDA-TTP)_2SbF_6 superconductor is a large value of effective cyclotron mass m_c^*=12.4+/1.1 m_e, which is the largest yet found in an organic superconductor. A possible origin of the enhanced effective mass and its relation to the superconductivity are briefly discussed.Comment: 8 pages, 10 figure

Magnetic field-dependent interplay between incoherent and Fermi liquid transport mechanisms in low-dimensional tau phase organic conductors

We present an electrical transport study of the 2-dimensional (2D) organic conductor tau-(P-(S,S)-DMEDT-TTF)_2(AuBr)_2(AuBr_2)_y (y = 0.75) at low temperatures and high magnetic fields. The inter-plane resistivity rho_zz increases with decreasing temperature, with the exception of a slight anomaly at 12 K. Under a magnetic field B, both rho_zz and the in-plane resistivity plane rho_xx show a pronounced negative and hysteretic magnetoresistance with Shubnikov de Haas (SdH)oscillations being observed in some (high quality)samples above 15 T. Contrary to the predicted single, star-shaped, closed orbit Fermi surface from band structure calculations (with an expected approximate area of 12.5% of A_FBZ), two fundamental frequencies F_l and F_h are detected in the SdH signal. These orbits correspond to 2.4% and 6.8% of the area of the first Brillouin zone(A_FBZ), with effective masses F_l = 4.0 +/- 0.5 and F_h = 7.3 +/- 0.1. The angular dependence, in tilted magnetic fields of F_l and F_h, reveals the 2D character of the FS and Angular dependent magnetoresistance (AMRO) further suggests a FS which is strictly 2-D where the inter-plane hopping t_c is virtually absent or incoherent. The Hall constant R_xy is field independent, and the Hall mobility increases by a factor of 3 under moderate magnetic fields. Our observations suggest a unique physical situation where a stable 2D Fermi liquid state in the molecular layers are incoherently coupled along the least conducting direction. The magnetic field not only reduces the inelastic scattering between the 2D metallic layers, but it also reveals the incoherent nature of interplane transport in the AMRO spectrum. The apparent ferromagnetism of the hysteretic magnetoresistance remains an unsolved problem.Comment: 33 pages, 11 figure

Small-q phonon-mediated superconductivity in organic \kappa-BEDT-TTF compounds

We propose a mew picture for superconductivity in $\kappa-(BEDT-TTF)_2X$ salts arguing that small-{\bf q} electron-phonon scattering dominates the pairing. We reproduce the distinct X-shaped d-wave gap reported recently by magnetooptic measurements and we argue that the softness of the momentum structure of the gap and the near degeneracy of s- and d-wave gap states may be at the origin of the experimental controversy about the gap symmetry. We show that a magnetic field applied parallel to the planes may induce extended gapless-regions on the FS accounting for the experimental signatures of a Fulde-Ferrel-Larkin-Ovchinikov state and it may induce gap symmetry transitions as well.Comment: 4 pages and 7 figure

Evidence for structural and electronic instabilities at intermediate temperatures in κ\kappa-(BEDT-TTF)2_{2}X for X=Cu[N(CN)2_{2}]Cl, Cu[N(CN)2_{2}]Br and Cu(NCS)2_{2}: Implications for the phase diagram of these quasi-2D organic superconductors

We present high-resolution measurements of the coefficient of thermal expansion $\alpha (T)=\partial \ln l(T)/\partial T$ of the quasi-twodimensional (quasi-2D) salts $\kappa$-(BEDT-TTF)$_2$X with X = Cu(NCS)$_2$, Cu[N(CN)$_2$]Br and Cu[N(CN)$_2$]Cl. At intermediate temperatures (B), distinct anomalies reminiscent of second-order phase transitions have been found at $T^\ast = 38$ K and 45 K for the superconducting X = Cu(NCS)$_2$ and Cu[N(CN)$_2$]Br salts, respectively. Most interestingly, we find that the signs of the uniaxial pressure coefficients of $T^\ast$ are strictly anticorrelated with those of $T_c$. We propose that $T^\ast$ marks the transition to a spin-density-wave (SDW) state forming on minor, quasi-1D parts of the Fermi surface. Our results are compatible with two competing order parameters that form on disjunct portions of the Fermi surface. At elevated temperatures (C), all compounds show $\alpha (T)$ anomalies that can be identified with a kinetic, glass-like transition where, below a characteristic temperature $T_g$, disorder in the orientational degrees of freedom of the terminal ethylene groups becomes frozen in. We argue that the degree of disorder increases on going from the X = Cu(NCS)$_2$ to Cu[N(CN)$_2$]Br and the Cu[N(CN)$_2$]Cl salt. Our results provide a natural explanation for the unusual time- and cooling-rate dependencies of the ground-state properties in the hydrogenated and deuterated Cu[N(CN)$_2$]Br salts reported in the literature.Comment: 22 pages, 7 figure

Electronic Collective Modes and Superconductivity in Layered Conductors

A distinctive feature of layered conductors is the presence of low-energy electronic collective modes of the conduction electrons. This affects the dynamic screening properties of the Coulomb interaction in a layered material. We study the consequences of the existence of these collective modes for superconductivity. General equations for the superconducting order parameter are derived within the strong-coupling phonon-plasmon scheme that account for the screened Coulomb interaction. Specifically, we calculate the superconducting critical temperature Tc taking into account the full temperature, frequency and wave-vector dependence of the dielectric function. We show that low-energy plasmons may contribute constructively to superconductivity. Three classes of layered superconductors are discussed within our model: metal-intercalated halide nitrides, layered organic materials and high-Tc oxides. In particular, we demonstrate that the plasmon contribution (electronic mechanism) is dominant in the first class of layered materials. The theory shows that the description of so-called ``quasi-two-dimensional superconductors'' cannot be reduced to a purely 2D model, as commonly assumed. While the transport properties are strongly anisotropic, it remains essential to take into account the screened interlayer Coulomb interaction to describe the superconducting state of layered materials.Comment: Final version (minor changes) 14 pages, 6 figure

The Dependence of the Superconducting Transition Temperature of Organic Molecular Crystals on Intrinsically Non-Magnetic Disorder: a Signature of either Unconventional Superconductivity or Novel Local Magnetic Moment Formation

We give a theoretical analysis of published experimental studies of the effects of impurities and disorder on the superconducting transition temperature, T_c, of the organic molecular crystals kappa-ET_2X and beta-ET_2X (where ET is bis(ethylenedithio)tetrathiafulvalene and X is an anion eg I_3). The Abrikosov-Gorkov (AG) formula describes the suppression of T_c both by magnetic impurities in singlet superconductors, including s-wave superconductors and by non-magnetic impurities in a non-s-wave superconductor. We show that various sources of disorder lead to the suppression of T_c as described by the AG formula. This is confirmed by the excellent fit to the data, the fact that these materials are in the clean limit and the excellent agreement between the value of the interlayer hopping integral, t_perp, calculated from this fit and the value of t_perp found from angular-dependant magnetoresistance and quantum oscillation experiments. If the disorder is, as seems most likely, non-magnetic then the pairing state cannot be s-wave. We show that the cooling rate dependence of the magnetisation is inconsistent with paramagnetic impurities. Triplet pairing is ruled out by several experiments. If the disorder is non-magnetic then this implies that l>=2, in which case Occam's razor suggests that d-wave pairing is realised. Given the proximity of these materials to an antiferromagnetic Mott transition, it is possible that the disorder leads to the formation of local magnetic moments via some novel mechanism. Thus we conclude that either kappa-ET_2X and beta-ET_2X are d-wave superconductors or else they display a novel mechanism for the formation of localised moments. We suggest systematic experiments to differentiate between these scenarios.Comment: 18 pages, 5 figure