184 research outputs found
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
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
Small-q phonon-mediated superconductivity in organic \kappa-BEDT-TTF compounds
We propose a mew picture for superconductivity in
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
Comparing community structure identification
We compare recent approaches to community structure identification in terms
of sensitivity and computational cost. The recently proposed modularity measure
is revisited and the performance of the methods as applied to ad hoc networks
with known community structure, is compared. We find that the most accurate
methods tend to be more computationally expensive, and that both aspects need
to be considered when choosing a method for practical purposes. The work is
intended as an introduction as well as a proposal for a standard benchmark test
of community detection methods.Comment: 10 pages, 3 figures, 1 table. v2: condensed, updated version as
appears in JSTA
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
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
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