Opportunity cost and prudentiality : a representative-agent model of futures clearinghouse behavior

Includes bibliographic references (p. 31-38)

Opportunity cost and prudentiality : an analysis of futures clearinghouse behavior

Margin deposits, which serve as collateral to protect the clearinghouse, are typically the most important tool for risk management. The authors develop a model that explains how creating a futures clearinghouse may allow traders simultaneously to reduce both the risk of default and the total amount of margin that members post. Optimal margin levels are determined by the need to balance the deadweight costs of default against the opportunity cost of holding additional margin. Both costs are a consequence of market participants'imperfect access to capital markets. The simultaneous reduction in default risk and in the opportunity cost of margin deposits is possible because the creation of the clearinghouse facilitates multilateral netting. The authors characterize the conditions under which multilateral netting will dominate bilateral netting. They also show that it is credible for the clearinghouse to expel members who default, further reducing the risk of default. Finally, they show that it may (but need not) be optimal for the clearinghouse to monitor the financial condition of its members. If monitoring occurs, it will reduce the amount of margin required, but need not affect the probability of default. The empirical tests run by the authors indicate that the opportunity cost of margin plays an important role in determining margin. The relationship between volatility and margins indicates that participants face an upward-sloping opportunity cost for margin, which appears to more than offset the effects that monitoring and expulsion would be expected to have on margin setting.Environmental Economics&Policies,Banks&Banking Reform,International Terrorism&Counterterrorism,Economic Theory&Research,Insurance&Risk Mitigation

Time-resolved Ultraviolet Spectroscopy of the M-dwarf GJ 876 Exoplanetary System

Extrasolar planets orbiting M-stars may represent our best chance to discover habitable worlds in the coming decade. The ultraviolet spectrum incident upon both Earth-like and Jovian planets is critically important for proper modeling of their atmospheric heating and chemistry. In order to provide more realistic inputs for atmospheric models of planets orbiting low-mass stars, we present new near- and far-ultraviolet (NUV and FUV) spectroscopy of the M-dwarf exoplanet host GJ 876 (M4V). Using the COS and STIS spectrographs aboard the Hubble Space Telescope, we have measured the 1150-3140A spectrum of GJ 876. We have reconstructed the stellar HI LyA emission line profile, and find that the integrated LyA flux is roughly equal to the rest of the integrated flux (1150-1210A + 1220-3140A) in the entire ultraviolet bandpass (F(LyA)/F(FUV+NUV) ~0.7). This ratio is ~ 2500x greater than the solar value. We describe the ultraviolet line spectrum and report surprisingly strong fluorescent emission from hot H2 (T(H2) > 2000 K). We show the light-curve of a chromospheric + transition region flare observed in several far-UV emission lines, with flare/quiescent flux ratios >= 10. The strong FUV radiation field of an M-star (and specifically LyA) is important for determining the abundance of O2 -- and the formation of biomarkers -- in the lower atmospheres of Earth-like planets in the habitable zones of low-mass stars.Comment: 6 pages, 4 figures. ApJL accepte

High Stellar FUV/NUV Ratio and Oxygen Contents in the Atmospheres of Potentially Habitable Planets

Recent observations of several planet-hosting M dwarfs show that most have FUV/NUV flux ratios 1000 times greater than that of the Sun. Here we show that the atmospheric oxygen contents (O2 and O3) of potentially habitable planets in this type of UV environment could be 2~3 orders of magnitude greater than those of their counterparts around Sun-like stars as a result of decreased photolysis of O3, H2O2, and HO2. Thus detectable levels of atmospheric oxygen, in combination with the existence of H2O and CO2, may not be the most promising biosignatures on planets around stars with high FUV/NUV ratios such as the observed M dwarfs

Plume mapping and isotopic characterisation of anthropogenic methane sources

Methane stable isotope analysis, coupled with mole fraction measurement, has been used to link isotopic signature to methane emissions from landfill sites, coal mines and gas leaks in the United Kingdom. A mobile Picarro G2301 CRDS (Cavity Ring-Down Spectroscopy) analyser was installed on a vehicle, together with an anemometer and GPS receiver, to measure atmospheric methane mole fractions and their relative location while driving at speeds up to 80 kph. In targeted areas, when the methane plume was intercepted, air samples were collected in Tedlar bags, for delta C-13-CH4 isotopic analysis by CF-GC-IRMS (Continuous Flow Gas Chromatography-Isotope Ratio Mass Spectrometry). This method provides high precision isotopic values, determining delta C-13-CH4 to +/- 0.05 per mil. The bulk signature of the methane plume into the atmosphere from the whole source area was obtained by Keeling plot analysis, and a delta C-13 -CH4 signature, with the relative uncertainty, allocated to each methane source investigated. Both landfill and natural gas emissions in SE England have tightly constrained isotopic signatures. The averaged delta C-13-CH4 for landfill sites is -58 +/- 3%o. The delta C-13-CH4 signature for gas leaks is also fairly constant around -36 +/- 2 parts per thousand, a value characteristic of homogenised North Sea supply. In contrast, signatures for coal mines in N. England and Wales fall in a range of -51.2 +/- 0.3 parts per thousand to 30.9 +/- 1.4 parts per thousand, but can be tightly constrained by region. The study demonstrates that CRDS-based mobile methane measurement coupled with off-line high precision isotopic analysis of plume samples is an efficient way of characterising methane sources. It shows that iiotopic measurements allow type identification, and possible location of previously unknown methane sources. In modelling studies this measurement provides an independent constraint to determine the contributions of different sources to the regional methane budget and in the verification of inventory source distribution. (C) 2015 Elsevier Ltd. All rights reserved