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

Consistent etiology of severe, frequent psychotic experiences and milder, less frequent manifestations: a twin study of specific psychotic experiences in adolescence

- Importance: The onset of psychosis is usually preceded by psychotic experiences (PE). Little is known about the etiology of PE and whether the degree of genetic and environmental influences varies across different levels of severity. A recognized challenge is to identify individuals at high risk of developing psychotic disorders prior to disease onset. - Objectives: To investigate the degree of genetic and environmental influences on specific PE, assessed dimensionally, in adolescents in the community and in those who have many, frequent experiences (defined using quantitative cutoffs). We also assessed the degree of overlap in etiological influences between specific PE. - Design, Setting, and Participants: Structural equation model-fitting, including univariate and bivariate twin models, liability threshold models, DeFries-Fulker extremes analysis, and the Cherny method, was used to analyze a representative community sample of 5059 adolescent twin pairs (mean [SD] age, 16.31 [0.68] years) from England and Wales. - Main Outcomes and Measures: Psychotic experiences assessed as quantitative traits (self-rated paranoia, hallucinations, cognitive disorganization, grandiosity, and anhedonia, as well as parent-rated negative symptoms). - Results: Genetic influences were apparent for all PE (15%-59%), with modest shared environment for hallucinations and negative symptoms (17%-24%) and significant nonshared environment (49%-64%) for the self-rated scales and 17% for parent-rated negative symptoms. Three empirical approaches converged to suggest that the etiology in extreme-scoring groups (most extreme scoring: 5%, 10%, and 15%) did not differ significantly from that of the whole distribution. There was no linear change in heritability across the distribution of PE, with the exception of a modest increase in heritability for increasing severity of parent-rated negative symptoms. Of the PE that showed covariation, this appeared to be due to shared genetic influences (bivariate heritabilities, 0.54-0.71). - Conclusions and Relevance: These findings are consistent with the concept of a psychosis continuum, suggesting that the same genetic and environmental factors influence both extreme, frequent PE and milder, less frequent manifestations in adolescents. Individual PE in adolescence, assessed quantitatively, have lower heritability estimates and higher estimates of nonshared environment than those for the liability to schizophrenia. Heritability varies by type of PE, being highest for paranoia and parent-rated negative symptoms and lowest for hallucinations

Surface Acoustic Waves to Control Droplet Impact onto Superhydrophobic and Slippery Liquid-Infused Porous Surfaces

Superhydrophobic coatings and slippery liquid-infused porous surfaces (SLIPS) have shown their potentials in self-cleaning, anti-icing, anti-erosion, and antibiofouling applications. Various studies have been done on controlling the droplet impact on such surfaces using passive methods such as modifying the lubricant layer thickness in SLIPS. Despite their effectiveness, passive methods lack on-demand control over the impact dynamics of droplets. This paper introduces a new method to actively control the droplet impact onto superhydrophobic and SLIPS surfaces using surface acoustic waves (SAWs). In this study, we designed and fabricated SLIPS on ZnO/aluminum thin-film SAW devices and investigated different scenarios of droplet impact on the surfaces compared to those on similar superhydrophobic-coated surfaces. Our results showed that SAWs have insignificant influences on the impact dynamics of a porous and superhydrophobic surface without an infused oil layer. However, after infusion with oil, SAW energy could be effectively transferred to the droplet, thus modifying its impact dynamics onto the superhydrophobic surface. Results showed that by applying SAWs, the spreading and retraction behaviors of the droplets are altered on the SLIPS surface, leading to a change in a droplet impact regime from deposition to complete rebound with altered rebounding angles. Moreover, the contact time was reduced up to 30% when applying SAWs on surfaces with an optimum oil lubricant thickness of ∼8 μm. Our work offers an effective way of applying SAW technology along with SLIPS to effectively reduce the contact time and alter the droplet rebound angles

Development of High Fidelity Soot Aerosol Dynamics Models using Method of Moments with Interpolative Closure

The method of moments with interpolative closure (MOMIC) for soot formation and growth provides a detailed modeling framework maintaining a good balance in generality, accuracy, robustness, and computational efficiency. This study presents several computational issues in the development and implementation of the MOMIC-based soot modeling for direct numerical simulations (DNS). The issues of concern include a wide dynamic range of numbers, choice of normalization, high effective Schmidt number of soot particles, and realizability of the soot particle size distribution function (PSDF). These problems are not unique to DNS, but they are often exacerbated by the high-order numerical schemes used in DNS. Four specific issues are discussed in this article: the treatment of soot diffusion, choice of interpolation scheme for MOMIC, an approach to deal with strongly oxidizing environments, and realizability of the PSDF. General, robust, and stable approaches are sought to address these issues, minimizing the use of ad hoc treatments such as clipping. The solutions proposed and demonstrated here are being applied to generate new physical insight into complex turbulence-chemistry-soot-radiation interactions in turbulent reacting flows using DNS

Submerged in the mainstream? A case study of an immigrant learner in a New Zealand primary classroom

Immigrant children from diverse language backgrounds face not only linguistic challenges when enrolled in mainstream English-medium classrooms, but also difficulties adjusting to an unfamiliar learning community. The culture of primary school classrooms in New Zealand typically reflects conventions across three dimensions: interactional, instructional task performance and cognitive-academic development. All three dimensions are underpinned by the culturally specific discourse conventions involved in language socialisation. New learners may be helped by classmates or their teacher to understand and successfully use these conventions, but left on their own they may sink rather than swim. This is a case study of one Taiwanese 11-year old boy, 'John', who entered a New Zealand primary classroom midway through the school year. John's basic conversational ability was sound, but he did not possess the interactive classroom skills needed to operate in the new culture of learning. Selected from a wider study of the classroom, transcript data from audio-recorded excerpts of John's interactions over several months with his teacher and classmates are interpreted from perspectives derived from sociocultural and language socialisation theories. The article concludes with a brief consideration of the extent to which John constructed, or was constrained from constructing meaningful learning experiences, and suggestions for further research and reflection

Genome-wide association study of receptive language ability of 12 year olds

Purpose: We have previously shown that individual differences in measures of receptive language ability at age 12 are highly heritable. The current study attempted to identify some of the genes responsible for the heritability of receptive language ability using a genome-wide association (GWA) approach. Method: We administered four internet-based measures of receptive language (vocabulary, semantics, syntax, and pragmatics) to a sample of 2329 12-year-olds for whom DNA and genome-wide genotyping were available. Nearly 700,000 single-nucleotide polymorphisms (SNPs) and one million imputed SNPs were included in a GWA analysis of receptive language composite scores. Results: No SNP associations met the demanding criterion of genome-wide significance that corrects for multiple testing across the genome (p < 5 ×10-8). The strongest SNP association did not replicate in an additional sample of 2639 12-year-olds. Conclusion: These results indicate that individual differences in receptive language ability in the general population do not reflect common genetic variants that account for >3% of the phenotypic variance. The search for genetic variants associated with language skill will require larger samples and additional methods to identify and functionally characterize the full spectrum of risk variants

Rendering an Account: An Open-State Archive in Postgraduate Supervision

The paper begins with a brief account of the transformation of research degree studies under the pressures of global capitalism and neo-liberal governmentality. A parallel transformation is occurring in the conduct of research through the use of information and communication technologies. Yet the potential of ICTs to shape practices of surveillance or to produce new student-supervisor relations and enhance the processes of developing the dissertation has received almost no critical attention. As doctoral supervisor and student, we then describe the features and uses of a web-based open state archive of the student's work-in-progress, developed by the student and accessible to his supervisor. Our intention was to encourage more open conversations between data and theorising, student and supervisor, and ultimately between the student and professional community. However, we recognise that relations of accountability, as these have developed within a contemporary "audit revolution" (Power, 1994, 1997) in universities, create particular "lines of visibility" (Munro, 1996). Thus while the open-state archive may help to redefine in less managerial terms notions of quality, transparency, flexibility and accountability, it might also make possible greater supervisory surveillance. How should we think about the panoptical potential of this archive? We argue that the diverse kinds of interactional patterns and pedagogical intervention it encourages help to create shifting subjectivities. Moreover, the archive itself is multiple, in bringing together an array of diverse materials that can be read in various ways, by following multiple paths. It therefore constitutes a collage, which we identify as a mode of cognition and of accounting distinct from but related to argument and narrative. As a more "open" text (Iser, 1978) it has an indeterminacy which may render it less open to abuse for the technologies of managerial accountability

Dynamic stabilization zone structure of jet diffusion flames from liftoff to blowout

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/76733/1/AIAA-23512-341.pd

A polygenic approach to understanding resilience to peer victimisation

Previous studies suggest an individual’s risk of depression following adversity may be moderated by their genetic liability. No study, however, has examined peer victimisation, an experience repeatedly associated with mental illness. We explore whether the negative mental health outcomes following victimisation can be partly attributed to genetic factors using polygenic scores for depression and wellbeing. Among participants from the Avon Longitudinal Study of Parents and Children (ALSPAC), we show that polygenic scores and peer victimisation are significant independent predictors of depressive symptoms (n=2268) and wellbeing (n=2299) in early adulthood. When testing for interaction effects, our results lead us to conclude that low mental health and wellbeing following peer victimisation is unlikely to be explained by a moderating effect of genetic factors, as indexed by current polygenic scores. Genetic profiling is therefore unlikely to be effective in identifying those more vulnerable to the effects of victimisation at present. The reasons why some go on to experience mental health problems following victimisation, while others remain resilient, requires further exploration, but our results rule out a major influence of current polygenic scores