Risk Management for Equity Portfolios of Japanese Banks

This paper verifies the impact of equity portfolio on bank management, underscoring the importance of managing the risks involved and suggesting "management of sensitivity to equity price risk" as a risk management technique that takes into account the correlation between equity price risk and credit risk. To do this, the paper focuses on the high correlation between "expected default probability estimated by the option-approach (Merton method)" using equity price information and " spread over Libor" observed in the bond market. This is used to calculate sensitivity (delta and vega) to changes in the equity price and its volatility. According to calculations for a sample portfolio, these two sensitivities have a degree of utility in measuring the distribution of risk exposure and in using equity price index futures and options as hedges. In the hedging of vega risk (which tends to reflect credit risk) in particular, long put positions in equity price index options are shown to be potentially effective.

Stability of Spinmotive Force in Perpendicularly Magnetized Nanowires under High Magnetic Fields

Spinmotive force induced by domain wall motion in perpendicularly magnetized nanowires is numerically demonstrated. We show that using nanowires with large magnetic anisotropy can lead to a high stability of spinmotive force under strong magnetic fields. We observe spinmotive force in the order of tens of microvolt in a multilayered Co/Ni nanowire and in the order of several hundred microvolt in a FePt nanowire; the latter is two orders of magnitude greater than that in permalloy nanowires reported previously. The narrow structure and low mobility of a domain wall under magnetic fields in perpendicularly magnetized nanowires permits downsizing of spinmotive force devices.Comment: submitted to Applied Physics Letter

Estudo das propriedades de [n, 14] - ionenos atraves de sondas fluorescentes

Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro de Ciencias Fisicas e MatematicasForam estudadas as propriedades de uma serie de polieletrólitos do tipo [n,14]-Ioneno (n=3,4,5,6,7,8 e 9) utilizando-se o pireno como sonda fluorescente. O aumento de n não afeta o grau de dissociação iônica (a) destes polieletrólitos em solução aquosa. As viscosidades reduzidas dos [6,14]- e [9,14]- ionenos diminuem com o aumento da concentração de ioneno, enquanto que os valores para as viscosidades intrínsecas são altos quando comparados com o [3,22]-ioneno, um polieletrólito de conformação globular. A anisotropia de fluorescência (r) da bis(carboxietil)fluoresceína[BCF] adsorvida no ioneno apresenta um pequeno aumento com o aumento de n, evidenciando uma maior densidade de carga na superfície dos ionenos com segmentos metilênicos mais longos. A constante de incorporação (Ks) do pireno nesta série de ionenos, assumindo-se que a entrada e saída da sonda no ioneno é lenta e a incorporação é parcial, aumenta com o aumento de n. Observou-se, entretanto, que para os valores ímpares de n, o aumento de Ks, é mais acentuado que os pares, provavelmente devido a diferenças no empacotamento ou dobra da cadeia metilênica do polieletrólito. Os resultados obtidos mostram que embora não ocorram efeitos muito significativos nas propriedades estudadas, a anisotropia de fluorescência de (r) e a constante de incorporação (Ks) aumentam com n indicando que devem ocorrer mudanças de característica conformacional nestes ionenos

Exact Analysis of Soliton Dynamics in Spinor Bose-Einstein Condensates

We propose an integrable model of a multicomponent spinor Bose-Einstein condensate in one dimension, which allows an exact description of the dynamics of bright solitons with spin degrees of freedom. We consider specifically an atomic condensate in the F=1 hyperfine state confined by an optical dipole trap. When the mean-field interaction is attractive (c_0 < 0) and the spin-exchange interaction of a spinor condensate is ferromagnetic (c_2 < 0), we prove that the system possesses a completely integrable point leading to the existence of multiple bright solitons. By applying results from the inverse scattering method, we analyze a collision law for two-soliton solutions and find that the dynamics can be explained in terms of the spin precession.Comment: 4 pages, 2 figure