Information theoretic description of the e-Mid interbank market: implications for systemic risk

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads

Market microstructure, bank's behaviour and interbank spreads

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads

Superfluid currents in half-moon polariton condensates

We excite exciton-polariton condensates in half-moon shapes by the non-resonant optical excitation of GaAs-based cylindrical pillar microcavities. In this geometry, the {\pi}-jump of the phase of the condensate wave function coexists with a gradual {\pm \pi} phase variation between two horns of the half-moon. We switch between clockwise and counter-clockwise phase currents by slightly shifting the excitation spot on the surface of the pillar. Half-moon condensates are expected to reveal features of two-level quantum systems similar to superconducting flux qubit

Phase diagrams of magnetopolariton gases

The magnetic field effect on phase transitions in electrically neutral bosonic systems is much less studied than those in fermionic systems, such as superconducting or ferromagnetic phase transitions. Nevertheless, composite bosons are strongly sensitive to magnetic fields: both their internal structure and motion as whole particles may be affected. A joint effort of ten laboratories has been focused on studies of polariton lasers, where non-equilibrium Bose-Einstein condensates of bosonic quasiparticles, exciton-polaritons, may appear or disappear under an effect of applied magnetic fields. Polariton lasers based on pillar or planar microcavities were excited both optically and electrically. In all cases a pronounced dependence of the onset to lasing on the magnetic field has been observed. For the sake of comparison, photon lasing (lasing by an electron-hole plasma) in the presence of a magnetic field has been studied on the same samples as polariton lasing. The threshold to photon lasing is essentially governed by the excitonic Mott transition which appears to be sensitive to magnetic fields too. All the observed experimental features are qualitatively described within a uniform model based on coupled diffusion equations for electrons, holes and excitons and the Gross-Pitaevskii equation for exciton-polariton condensates. Our research sheds more light on the physics of non-equilibrium Bose-Einstein condensates and the results manifest high potentiality of polariton lasers for spin-based quantum logic applications.Comment: 21 pages, 11 figure

The Non-linear Optical Spin Hall Effect and Long-Range Spin Transport in Polariton Lasers

We report on the experimental observation of the non-linear analogue of the optical spin Hall effect under highly non-resonant circularly polarized excitation of an exciton polariton condensate in a GaAs/AlGaAs microcavity. Initially circularly polarized polariton condensates propagate over macroscopic distances while the collective condensate spins coherently precess around an effective magnetic field in the sample plane performing up to four complete revolutions

Telling stories about European Union Health Law: The emergence of a new field of law

The ideational narrative power of law has now solidified, and continues to solidify, ‘European Union health law’, into an entity with a distinctive legal identity. EU health law was previously seen as either non-existent, or so broad as to be meaningless, or as existing only in relations between EU law and health (the ‘and’ approach), or as consisting of a body of barely or loosely connected policy domains (the ‘patchwork’ approach). The process of bringing EU health law into being is a process of narration. The ways in which EU health law is narrated (and continues to be narrated) involve three main groups of actors: the legislature, courts and the academy

Computational framework for longevity risk management

Longevity risk threatens the financial stability of private and government sponsored defined benefit pension systems as well as social security schemes, in an environment already characterized by persistent low interest rates and heightened financial uncertainty. The mortality experience of countries in the industrialized world would suggest a substantial age-time interaction, with the two dominant trends affecting different age groups at different times. From a statistical point of view, this indicates a dependence structure. It is observed that mortality improvements are similar for individuals of contiguous ages (Wills and Sherris, Integrating financial and demographic longevity risk models: an Australian model for financial applications, Discussion Paper PI-0817, 2008). Moreover, considering the dataset by single ages, the correlations between the residuals for adjacent age groups tend to be high (as noted in Denton et al., J Population Econ 18:203-227, 2005). This suggests that there is value in exploring the dependence structure, also across time, in other words the inter-period correlation. In this research, we focus on the projections of mortality rates, contravening the most commonly encountered dependence property which is the "lack of dependence" (Denuit et al., Actuarial theory for dependent risks: measures. Orders and models, Wiley, New York, 2005). By taking into account the presence of dependence across age and time which leads to systematic over-estimation or under-estimation of uncertainty in the estimates (Liu and Braun, J Probability Stat, 813583:15, 2010), the paper analyzes a tailor-made bootstrap methodology for capturing the spatial dependence in deriving confidence intervals for mortality projection rates. We propose a method which leads to a prudent measure of longevity risk, avoiding the structural incompleteness of the ordinary simulation bootstrap methodology which involves the assumption of independence