The Ordered Qualitative Model For Credit Rating Transitions

Information on the expected changes in credit quality of obligors is contained in credit migration matrices which trace out the movements of firms across ratings categories in a given period of time and in a given group of bond issuers. The rating matrices provided by Moody’s, Standard &Poor’s and Fitch became crucial inputs to many applications, including the assessment of risk on corporate credit portfolios (CreditVar) and credit derivatives pricing. We propose a factor probit model for modeling and prediction of credit rating matrices that are assumed to be stochastic and driven by a latent factor. The filtered latent factor path reveals the effect of the economic cycle on corporate credit ratings, and provides evidence in support of the PIT (point-in-time) rating philosophy. The factor probit model also yields the estimates of cross-sectional correlations in rating transitions that are documented empirically but not fully accounted for in the literature and in the regulatory rules established by the Basle Committee.Credit Rating, Migration, Migration Correlation, Credit Risk, Probit Model, Latent Factor, Business Cycle.

Global behavior of cosmological dynamics with interacting Veneziano ghost

In this paper, we shall study the dynamical behavior of the universe accelerated by the so called Veneziano ghost dark energy component locally and globally by using the linearization and nullcline method developed in this paper. The energy density is generalized to be proportional to the Hawking temperature defined on the trapping horizon instead of Hubble horizon of the Friedmann-Robertson-Walker (FRW) universe. We also give a prediction of the fate of the universe and present the bifurcation phenomenon of the dynamical system of the universe. It seems that the universe could be dominated by dark energy at present in some region of the parameter space.Comment: 8 pages, 7 figures, accepted for publication in JHE

Dimer models from mirror symmetry and quivering amoebae

Dimer models are 2-dimensional combinatorial systems that have been shown to encode the gauge groups, matter content and tree-level superpotential of the world-volume quiver gauge theories obtained by placing D3-branes at the tip of a singular toric Calabi-Yau cone. In particular the dimer graph is dual to the quiver graph. However, the string theoretic explanation of this was unclear. In this paper we use mirror symmetry to shed light on this: the dimer models live on a T^2 subspace of the T^3 fiber that is involved in mirror symmetry and is wrapped by D6-branes. These D6-branes are mirror to the D3-branes at the singular point, and geometrically encode the same quiver theory on their world-volume

Small-Recoil Approximation

In this review we discuss a technique to compute and to sum a class of Feynman diagrams, and some of its applications. These are diagrams containing one or more energetic particles that suffer very little recoil in their interactions. When recoil is completely neglected, a decomposition formula can be proven. This formula is a generalization of the well-known eikonal formula, to non-abelian interactions. It expresses the amplitude as a sum of products of irreducible amplitudes, with each irreducible amplitude being the amplitude to emit one, or several mutually interacting, quasi-particles. For abelian interaction a quasi-particle is nothing but the original boson, so this decomposition formula reduces to the eikonal formula. In non-abelian situations each quasi-particle can be made up of many bosons, though always with a total quantum number identical to that of a single boson. This decomposition enables certain amplitudes of all orders to be summed up into an exponential form, and it allows subleading contributions of a certain kind, which is difficult to reach in the usual way, to be computed. For bosonic emissions from a heavy source with many constituents, a quasi-particle amplitude turns out to be an amplitude in which all bosons are emitted from the same constituent. For high-energy parton-parton scattering in the near-forward direction, the quasi-particle turns out to be the Reggeon, and this formalism shows clearly why gluons reggeize but photons do not. The ablility to compute subleading terms in this formalism allows the BFKL-Pomeron amplitude to be extrapolated to asymptotic energies, in a unitary way preserving the Froissart bound. We also consider recoil corrections for abelian interactions in order to accommodate the Landau-Pomeranchuk-Migdal effect.Comment: 21 pages with 4 figure

Viscosity calculated in simulations of strongly-coupled dusty plasmas with gas friction

A two-dimensional strongly-coupled dusty plasma is modeled using Langevin and frictionless molecular dynamical simulations. The static viscosity $\eta$ and the wave-number-dependent viscosity $\eta(k)$ are calculated from the microscopic shear in the random motion of particles. A recently developed method of calculating the wave-number-dependent viscosity $\eta(k)$ is validated by comparing the results of $\eta(k)$ from the two simulations. It is also verified that the Green-Kubo relation can still yield an accurate measure of the static viscosity $\eta$ in the presence of a modest level of friction as in dusty plasma experiments.Comment: 6 pages, 3 figures, Physics of Plasmas invited pape

Time-dependent universal conductance fluctuations in mesoscopic Au wires: implications

In cold, mesoscopic conductors, two-level fluctuators lead to time-dependent universal conductance fluctuations (TDUCF) manifested as $1/f$ noise. In Au nanowires, we measure the magnetic field dependence of TDUCF, weak localization (WL), and magnetic field-driven (MF) UCF before and after treatments that alter magnetic scattering and passivate surface fluctuators. Inconsistencies between $L_{\phi}^{\rm WL}$ and $L_{\phi}^{\rm TDUCF}$ strongly suggest either that the theory of these mesoscopic phenomena in weakly disordered, highly pure Au is incomplete, or that the assumption that the TDUCF frequency dependence remains $1/f$ to very high frequencies is incorrect. In the latter case, TDUCF in excess of $1/f$ expectations may have implications for decoherence in solid-state qubits.Comment: 8 pages, 9 figures, accepted to PR