572 research outputs found
A Market Based Measure of Credit Quality and Banks' Performance During the Subprime Crisis
We propose a new method for measuring the quality of banks credit portfolios. This method makes use of information impounded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a credit risk indicator (CRI), which is the perceived share of high risk exposures in a bank's portfolio. We estimate CRIs for the 150 largest U.S. bank holding companies and find that they have strong predictive power for the BHCs' performance during the subprime crisis, even after controlling for a variety of traditional asset quality proxies. Interestingly, we also find that the BHCs' aggregate CRI did not deteriorate since the beginning of the subprime crisis. This suggests that the market was aware of their (average) exposure to high risk credit.credit risk;asset quality;banks;subprime crisis
Defects in SiO2 as the possible origin of near interface traps in the SiC∕SiO2 system: A systematic theoretical study
A systematic study of the level positions of intrinsic and carbon defects in SiO2 is presented, based on density functional calculations with a hybrid functional in an alpha-quartz supercell. The results are analyzed from the point of view of the near interface traps (NIT), observed in both SiC/SiO2 and Si/SiO2 systems, and assumed to have their origins in the oxide. It is shown that the vacancies and the oxygen interstitial can be excluded as the origin of such NIT, while the silicon interstitial and carbon dimers give rise to gap levels in the energy range inferred from experiments. The properties of these defects are discussed in light of the knowledge about the SiC/SiO2 interface
Path integral Monte Carlo calculations of helium and hydrogen-helium plasma thermodynamics and of the deuterium shock Hugoniot
In this work we calculate the thermodynamic properties of hydrogen-helium
plasmas with different mass fractions of helium by the direct path integral
Monte Carlo method. To avoid unphysical approximations we use the path integral
representation of the density matrix. We pay special attention to the region of
weak coupling and degeneracy and compare the results of simulation with a model
based on the chemical picture. Further with the help of calculated deuterium
isochors we compute the shock Hugoniot of deuterium. We analyze our results in
comparison with recent experimental and calculated data on the deuterium
Hugoniot.Comment: 7 pages, 5 Postscript figures, accepted for publication in J. Phys.
A: Math. Ge
Look-Ahead Benchmark Bias in Portfolio Performance Evaluation
Performance of investment managers are evaluated in comparison with
benchmarks, such as financial indices. Due to the operational constraint that
most professional databases do not track the change of constitution of
benchmark portfolios, standard tests of performance suffer from the "look-ahead
benchmark bias," when they use the assets constituting the benchmarks of
reference at the end of the testing period, rather than at the beginning of the
period. Here, we report that the "look-ahead benchmark bias" can exhibit a
surprisingly large amplitude for portfolios of common stocks (up to 8% annum
for the S&P500 taken as the benchmark) -- while most studies have emphasized
related survival biases in performance of mutual and hedge funds for which the
biases can be expected to be even larger. We use the CRSP database from 1926 to
2006 and analyze the running top 500 US capitalizations to demonstrate that
this bias can account for a gross overestimation of performance metrics such as
the Sharpe ratio as well as an underestimation of risk, as measured for
instance by peak-to-valley drawdowns. We demonstrate the presence of a
significant bias in the estimation of the survival and look-ahead biases
studied in the literature. A general methodology to test the properties of
investment strategies is advanced in terms of random strategies with similar
investment constraints.Comment: 16 pages, 1 table, 4 figure
Evaluation of the masking efficacy of caries infiltration in post-orthodontic initial caries lesions: 1-year follow-up.
OBJECTIVES
This study aimed to qualitatively and quantitatively assess the masking efficacy and color stability of resin infiltration on post-orthodontic ICL after 1Â year.
MATERIALS AND METHODS
In 17 adolescents, 112 ICL (ICDAS-1: n = 1; ICDAS-2: n = 111) in 112 teeth were treated by resin infiltration (Icon, DMG) 3 to 12 months after bracket removal. The etching procedure was performed up to 3 times. Standardized digital images were taken before treatment (T0), 7 days (T7) and 12 months (T365) after treatment. Outcomes included the evaluation of the color differences between infiltrated and healthy enamel at T0, T7, and T365 by quantitative (colorimetric analysis (ΔE), ICDAS scores) and qualitative methods (5-point Likert scale (deteriorated (1), unchanged (2), improved, but not satisfying (3), improved and no further treatment required (4), completely masked (5)).) Differences between time points were analyzed by using Friedman test (ΔΕ) and chi-square tests (ICDAS).
RESULTS
The median color difference (25th/75th percentiles) between carious and healthy enamel at baseline (ΔΕ0) was 10.2(7.7/13.6). A significant decrease was observed 7 days after treatment (ΔΕ7 = 3.1(1.8/5.0); p < 0.001; ICDAS; p < 0.001). No significant changes based on ΔΕ (p = 1.000), and ICDAS grade (p = 0.305) were observed between T7 and T365 (ΔΕ12 = 3.4 (1.8/4.9)). Furthermore, at T365 four experienced dentists classified 55% and 39% of the lesions as "improved and no further treatment required" and "completely masked," respectively (Fleiss kappa: T365 = 0.851 (almost perfect)).
CONCLUSION
Resin infiltration efficaciously masked post-orthodontic ICL 7Â days and 12Â months after treatment. These results for most of the teeth could not only be observed by quantitative but also by qualitative analysis.
CLINICAL RELEVANCE
Resin infiltration efficaciously masks post-orthodontic initial carious lesions. The optical improvement can be observed directly after treatment and remains stable for at least 12Â months
Theoretical study of the mechanism of dry oxidation of 4H-SiC
Possible defect structures, arising from the interaction of O-2 molecules with an ideal portion of the SiC/SiO2 interface, have been investigated systematically using density functional theory. Based on the calculated total energies and assuming thermal quasiequilibrium during oxidation, the most likely routes leading to complete oxidation have been determined. The defect structures produced along these routes will remain at the interface in significant concentration when stopping the oxidation process. The results obtained for their properties are well supported by experimental findings about the SiC/SiO2 interface. It is found that carbon-carbon bonds can explain most of the observed interface states but not the high density near the conduction band of 4H-SiC
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