Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default correlation and non-uniform default probabilities. We obtain the default probability distribution and study the effect of the inhomogeneity on it. The second case corresponds to a portfolio with inhomogeneous default correlation. Assets are categorized in several different sectors and the inter-sector and intra-sector correlations are not the same. We construct the joint default probabilities and obtain the default probability distribution. We show that as the number of assets in each sector decreases, inter-sector correlation becomes more important than intra-sector correlation. We study the maximum values of the inter-sector default correlation. Our generalization method can be applied to any correlated binomial default distribution model which has explicit relations to the conditional default probabilities or conditional default correlations, e.g. Credit Risk${}^{+}$, implied default distributions. We also compare some popular CDO pricing models from the viewpoint of the range of the implied tranche correlation.Comment: 29 pages, 17 figures and 1 tabl

Raman-free, noble-gas-filled PCF source for ultrafast, very bright twin-beam squeezed vacuum

We report a novel source of twin beams based on modulational instability in high-pressure argon-filled hollow-core kagom\'e-style photonic-crystal fibre. The source is Raman-free and manifests strong photon-number correlations for femtosecond pulses of squeezed vacuum with a record brightness of ~2500 photons per mode. The ultra-broadband (~50 THz) twin beams are frequency tunable and contain one spatial and less than 5 frequency modes

Supernova Kicks and Misaligned Be Star Binaries

Be stars are rapidly spinning B stars surrounded by an outflowing disc of gas in Keplerian rotation. Be star/X-ray binary systems contain a Be star and a neutron star. They are found to have non-zero eccentricities and there is evidence that some systems have a misalignment between the spin axis of the star and the spin axis of the binary orbit. The eccentricities in these systems are thought to be caused by a kick to the neutron star during the supernova that formed it. Such kicks would also give rise to misalignments. In this paper we investigate the extent to which the same kick distribution can give rise to both the observed eccentricity distribution and the observed misalignments. We find that a Maxwellian distribution of velocity kicks with a low velocity dispersion, $\sigma_k \approx 15\rm km s^{-1}$, is consistent with the observed eccentricity distribution but is hard to reconcile with the observed misalignments, typically $i \ge 25^\circ$. Alternatively a higher velocity kick distribution, $\sigma_k = 265 \rm km s^{-1}$, is consistent with the observed misalignments but not with the observed eccentricities, unless post-supernova circularisation of the binary orbits has taken place. We discuss briefly how this might be achieved.Comment: Accepted for publication in MNRA

Fast Photon Detection for Particle Identification with COMPASS RICH-1

Particle identification at high rates is an important challenge for many current and future high-energy physics experiments. The upgrade of the COMPASS RICH-1 detector requires a new technique for Cherenkov photon detection at count rates of several $10^6$ per channel in the central detector region, and a read-out system allowing for trigger rates of up to 100 kHz. To cope with these requirements, the photon detectors in the central region have been replaced with the detection system described in this paper. In the peripheral regions, the existing multi-wire proportional chambers with CsI photocathode are now read out via a new system employing APV pre-amplifiers and flash ADC chips. The new detection system consists of multi-anode photomultiplier tubes (MAPMT) and fast read-out electronics based on the MAD4 discriminator and the F1-TDC chip. The RICH-1 is in operation in its upgraded version for the 2006 CERN SPS run. We present the photon detection design, constructive aspects and the first Cherenkov light in the detector.Comment: Proceedings of the Imaging 2006 conference, Stockholm, Sweden, 27-30 June 2006, 5 pages, 6 figures, to appear in NIM A; corrected typo in caption of Fig.

Fast photon detection for the COMPASS RICH detector

The COMPASS experiment at the SPS accelerator at CERN uses a large scale Ring Imaging CHerenkov detector (RICH) to identify pions, kaons and protons in a wide momentum range. For the data taking in 2006, the COMPASS RICH has been upgraded in the central photon detection area (25% of the surface) with a new technology to detect Cherenkov photons at very high count rates of several 10^6 per second and channel and a new dead-time free read-out system, which allows trigger rates up to 100 kHz. The Cherenkov photons are detected by an array of 576 visible and ultra-violet sensitive multi-anode photomultipliers with 16 channels each. The upgraded detector showed an excellent performance during the 2006 data taking.Comment: Proceeding of the IPRD06 conference (Siena, Okt. 06

The Fast Read-out System for the MAPMTs of COMPASS RICH-1

A fast readout system for the upgrade of the COMPASS RICH detector has been developed and successfully used for data taking in 2006 and 2007. The new readout system for the multi-anode PMTs in the central part of the photon detector of the RICH is based on the high-sensitivity MAD4 preamplifier-discriminator and the dead-time free F1-TDC chip characterized by high-resolution. The readout electronics has been designed taking into account the high photon flux in the central part of the detector and the requirement to run at high trigger rates of up to 100 kHz with negligible dead-time. The system is designed as a very compact setup and is mounted directly behind the multi-anode photomultipliers. The data are digitized on the frontend boards and transferred via optical links to the readout system. The read-out electronics system is described in detail together with its measured performances.Comment: Proceeding of RICH2007 Conference, Trieste, Oct. 2007. v2: minor change

Spin physics with antiprotons

New possibilities arising from the availability at GSI of antiproton beams, possibly polarised, are discussed. The investigation of the nucleon structure can be boosted by accessing in Drell-Yan processes experimental asymmetries related to cross-sections in which the parton distribution functions (PDF) only appear, without any contribution from fragmentation functions; such processes are not affected by the chiral suppression of the transversity function $h_1(x)$. Spin asymmetries in hyperon production and Single Spin Asymmetries are discussed as well, together with further items like electric and magnetic nucleonic form factors and open charm production. Counting rates estimations are provided for each physical case. The sketch of a possible experimental apparatus is proposed.Comment: Presented for the proceedings of ASI "Spin and Symmetry", Prague, July 5-10, 2004, to be published in Czech. J. Phys. 55 (2005

Estimation of GRB detection by FiberGLAST

FiberGLAST is one of several instrument concepts being developed for possible inclusion as the primary Gamma-ray Large Area Space Telescope (GLAST) instrument. The predicted FiberGLAST effective area is more than 12,000 cm2 for energies between 30 MeV and 300 GeV, with a field of view that is essentially flat from 0°–80°. The detector will achieve a sensitivity more than 10 times that of EGRET. We present results of simulations that illustrate the sensitivity of FiberGLAST for the detection of gamma-ray bursts

Crystal and magnetic structure of the La1−x_{1-x}Cax_{x}MnO3_{3} compound (x=0.8,0.85)(x=0.8,0.85)

We studied the crystal and magnetic structure of the La$_{1-x}$Ca$_{x}$MnO$_{3}$ compound for $x=0.8$ and $x=0.85$. At T=300 K both samples are paramagnetic with crystallographic symmetry $Pnma$. At low temperatures they undergo a monoclinic distortion from orthorhombic $Pnma$-type structure with $a_p\sqrt{2}\times 2a_p\times a_p\sqrt{2}$ to a monoclinic structure with ($a_p\sqrt{2}\times 2a_p\times a_p\sqrt{2}$, $\beta=90+\epsilon\sim 91.4^{\rm o}$) and $P2_1/m$ space group below $T_N$. The onset of the structural transformation coincides with the development of the $C$-type long range antiferromagnetic order with propagation vector ${\bf k}=({1/2},0,{1/2})$. The monoclinic unit cell allowed us to determine the direction of the Mn magnetic moment with respect to the crystallographic axes: it is perpendicular to the propagation vector, ${\bf m}\perp {\bf k}=({1/2},0,{1/2})$. The amplitude of the ordered magnetic moment at $T=1.6$ K is found to be $2.53(2)$ and $2.47(2)\mu_{B}$ for $x=0.8$ and 0.85, respectively.Comment: In press (Phys. Rev B 01 Feb 2002