Rating agency actions and the pricing of debt and equity of European banks: What can we infer about private sector monitoring of bank soundness?

The recent consultative papers by the Basel Committee suggest an explicit role for external rating agencies in the assessment of the credit risk of banks' assets. In this context, an assessment of the information contained in credit ratings is important. We address this issue via an event study of rating change announcements by leading international rating agencies, focussing on a sample of European banks. We find no evidence of announcement effects on bond prices. We are largely able to exclude lack of liquidity as an explanation for this puzzling result and suggest some alternatives, such as 'too-big-to-fail.' For equity prices, we find strong effects of unexpected ratings changes and confirm prior evidence that stock prices may react very differently to ratings downgrades, depending on the underlying reason. Overall, our results suggest that ratings agencies may perform a useful role in summarising and obtaining non-public information on banks, at least for stockholders. JEL Classification: G21, G14, G18

Learning from the Success of MPI

The Message Passing Interface (MPI) has been extremely successful as a portable way to program high-performance parallel computers. This success has occurred in spite of the view of many that message passing is difficult and that other approaches, including automatic parallelization and directive-based parallelism, are easier to use. This paper argues that MPI has succeeded because it addresses all of the important issues in providing a parallel programming model.Comment: 12 pages, 1 figur

Grid generation for time dependent problems: Criteria and methods

The problem of generating local mesh refinements when solving time dependent partial differential equations was examined. The problem of creating an appropriate grid, given a mesh function h defined over the spatial domain is discussed. A data structure which permits efficient use of the resulting grid is described. A good choice for h is an estimate of the local truncation error, and several ways to estimate it are discussed. The efficiency and implementation problems of these error estimates were compared

Beyond XSPEC: Towards Highly Configurable Analysis

We present a quantitative comparison between software features of the defacto standard X-ray spectral analysis tool, XSPEC, and ISIS, the Interactive Spectral Interpretation System. Our emphasis is on customized analysis, with ISIS offered as a strong example of configurable software. While noting that XSPEC has been of immense value to astronomers, and that its scientific core is moderately extensible--most commonly via the inclusion of user contributed "local models"--we identify a series of limitations with its use beyond conventional spectral modeling. We argue that from the viewpoint of the astronomical user, the XSPEC internal structure presents a Black Box Problem, with many of its important features hidden from the top-level interface, thus discouraging user customization. Drawing from examples in custom modeling, numerical analysis, parallel computation, visualization, data management, and automated code generation, we show how a numerically scriptable, modular, and extensible analysis platform such as ISIS facilitates many forms of advanced astrophysical inquiry.Comment: Accepted by PASP, for July 2008 (15 pages