Central counterparties

Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It is optimal for the CCP to face default losses to achieve the efficient level of trade. To cover these losses, the CCP optimally uses margin calls, and, as the default problem becomes more severe, also requires default funds and then imposes position limits

The Emergence and Future of Central Counterparties

We study the role of a central counterparty (CCP) in controlling counterparty risk. When trading is organized via a centralized exchange with fungible contracts -- as in a futures market -- we show that it is optimal to clear trades via a CCP that uses (i) novation to pool the risk of default and (ii) mutualization of losses to insure against the aggregate cost of default in the form of price risk. We then analyze the design of CCP clearing for over-the-counter (OTC) trades where contracts are customized and, hence, not fungible. A CCP can still offer gains from novation by pooling default risk across all customized contracts. Bargaining in OTC trades leads to an inefficient allocation of default risk across trades. A transfer scheme can alleviate this inefficiency, but necessitates novation being offered by a CCP. Hence, the benefit from CCP clearing for OTC markets goes beyond simple netting as it is a prerequisite for an efficient allocation of default risk in such markets.Central Counterparty, Clearing, Over-the-counter Markets, Novation and Mutualization, Default Risk

The emergence and future of central counterparties

The authors explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs exist. In over-the-counter markets, as contracts are customized and not fungible, a CCP cannot fully guarantee contract performance. Still, a CCP can help: As bargaining leads to an inefficient allocation of default risk relative to the gains from customization, a transfer scheme is needed. A CCP can implement it by offering partial insurance for customized contracts.Risk management ; Over-the-counter markets ; Contracts

The emergence and future of central counterparties

We explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs exist. In over-the-counter markets, as contracts are customized and not fungible, a CCP cannot fully guarantee contract performance. Still, a CCP can help: As bargaining leads to an inefficient allocation of default risk relative to the gains from customization, a transfer scheme is needed. A CCP can implement it by offering partial insurance for customized contracts

NGC 7331: the Galaxy with the Multicomponent Central Region

We present the results of the spectral investigation of the regular Sb galaxy NGC 7331 with the Multi-Pupil Field Spectrograph of the 6m telescope. The absorption-line indices H-beta, Mgb, and are mapped to analyse the properties of the stellar populations in the circumnuclear region of the galaxy. The central part of the disk inside ~3" (200 pc) -- or a separate circumnuclear stellar-gaseous disk as it is distinguished by decoupled fast rotation of the ionized gas -- is very metal-rich, rather young, ~ 2 billion years old, and its solar magnesium-to-iron ratio evidences for a very long duration of the last episode of star formation there. However the gas excitation mechanism now in this disk is shock-like. The star-like nucleus had probably experienced a secondary star formation burst too: its age is 5 billion years, much younger than the age of the circumnuclear bulge. But [Mg/Fe]=+0.3 and only solar global metallicity imply that the nuclear star formation burst has been much shorter than that in the circumnuclear disk. The surrounding bulge is rather old, 9--14 billion years old, and moderately metal-poor. The rotation of the stars and gas within the circumnuclear disk is axisymmetric though its rotation plane may be slightly inclined to the global plane of the galaxy. Outside the circumnuclear disk the gas may experience non-circular motions, and we argue that the low-contrast extended bulge of NGC 7331 is triaxial.Comment: LATEX, 27 pages, + 15 Postscript figures. Accepted to Astronomical Journal, July issu

La poliomyélite en Suisse à l'ère pré-vaccinale

Contexte: cf. F. Kafka Le but de ce travail est d'écrire une histoire de la poliomyélite en Suisse, en ce concentrant sur les années 1945 à 1965, période charnières dans l'histoire de ce mal puisque recouvrant les principales épidémies ainsi que l'arrivée de la vaccination et la quasi disparition de la maladie. L'approche se fera premièrement en passant en revue les articles concernant la poliomyélite dans la presse écrite romande de l'époque, premier moyen d'information de la population. Cette approche permettra de se faire une idée des connaissances de la maladie au sein du grand publique. Une revue de littérature scientifique ainsi qu'un tour des Archives Cantonales romandes seront fait afin de confronter ces données à celles recueillie dans la presse. L'intérêt de ce travail réside dans la compréhension du parcours de cette maladie qui, en 50 ans, est passée du statut d'ennemi publique numéro 1 à celui d'histoire ancienne, grâce au vaccin bien sûr, mais surtout grâce à une mobilisation sociale sans précèdent dans l'histoire de la médecine

AN ALGORITHM TO COMPUTE ABSOLUTE 3D KINEMATICS FROM A MOVING MOTION ANALYSIS SYSTEM

INTRODUCTION: Recently, Colloud et al. showed the feasibility of using a moving motion analysis system to acquire three dimensional (3d) kinematics over a large volume. They placed a motion analysis system on a rigid rolling frame that followed the displacement of a known object. In this pilot study, Colloud et al. obtained accuracy similar to those report for motion analysis systems (Richards, 1999). As a result, the rolling system is accurate enough for capturing the local 3d kinematics. However, the expression of the kinematics in a global frame – i.e. the absolute kinematics – has not been assessed. Thus it is impossible to calculate spatial-temporal parameters (e.g. step length, step width, walking speed in gait analysis). The purpose of this study is to propose an algorithm for calculating the 3d global kinematic of a subject walking on a 40 m-long pathway. METHODS: One male participant (age: 21 yr, height: 170 cm, mass: 62 kg) equipped with 22 reflective markers performed five trials on 40 meters. He was followed by a rolling frame (4.4 × 4.0 × 2.5 m) with a 8-camera motion analysis system (T40 series, Vicon, Oxford, UK) sampled at 100 Hz. Forty-one reflective markers were placed every meter on the ground on an horizontal line using a tape measurer and a self levelling laser. The algorithm consists in three steps: (i) estimation of the kinematics from the camera frame (AL) to a local frame (Ai) using two markers (gi and gj) seen on the ground, (ii) expressed this local kinematics in a global frame (AG) and (iii) calculation of the roto-translation (iRj) from this current local frame (Ai) to the next local frame (Aj) before gi disappears. This last step requires three visible ground markers (gi, gj and gk). An elimination procedure that minimizes the norm of Frobenius is used until 50% of the image remained. The accuracy and precision of the reconstruction were evaluated as the deviation of reconstructed marker position relative to its reference and as the radius of the spheres of 95% confidence for the ground markers express in the global frame, respectively. RESULTS and DISCUSSION: The accuracy was up to 16 mm in antero-posterior direction but could reach 138 and 163 mm in lateral and vertical directions over the 40 m translation. The deviations differed in direction and magnitude between the trials. The precision was lower than the precision estimated with a rigid object (1.3 mm). Although their position was fixed in the global frame, the markers were shaking, in the worst case, in a sphere of 20 mm. The errors in marker position could be reduced with a reconstruction using at least three cameras. CONCLUSION: This algorithm is efficient for the analysis of human movement on horizontal ground. It allows the calculation of spatio-temporal parameters related to the performance in ecological environments over many cycles for walking and many sports (e.g. running) REFERENCES: Colloud, F., Chèze, L., Andrè, N., Bahuaud, P. (2008). An innovative solution for 3D kinematics measurement for large volume. Journal of Biomechanics, 41(S1), S57. Richards, J., 1999. The measurement of human motion: A comparison of commercially available systems. Human Movement Science, 18, 589–602. Acknowledgement: The financial support of Région Rhône-Alpes (Projet Emergence) and Région Poitou-Charentes--European Union (CPER 2007-2013) is gratefully acknowledged

Scalable N-body code for the modelling of early-type galaxies

Early-type galaxies exhibit a wealth of photometric and dynamical structures. These signatures are fossil records of their formation and evolution processes. In order to examine these structures in detail, we build models aimed at reproducing the observed photometry and kinematics. The developed method is a generalization of the one introduced by Syer and Tremaine (1996), consisting in an N-body representation, in which the weights of the particles are changing with time. Our code is adapted for integral-field spectroscopic data, and is able to reproduce the photometric as well as stellar kinematic data of observed galaxies. We apply this technique on SAURON data of early-type galaxies, and present preliminary results on NGC 3377.Comment: 6 pages, 2 figures. Original version printed in the Proceedings of "Science perspective for 3D spectroscopy", 2005, Eds Kissler-Patig, Walsh, Roth, ES0, Springe

The FALCON concept: multi-object spectroscopy combined with MCAO in near-IR

A large fraction of the present-day stellar mass was formed between z=0.5 and z~3 and our understanding of the formation mechanisms at work at these epochs requires both high spatial and high spectral resolution: one shall simultaneously} obtain images of objects with typical sizes as small as 1-2kpc(~0''.1), while achieving 20-50 km/s (R >= 5000) spectral resolution. The obvious instrumental solution to adopt in order to tackle the science goal is therefore a combination of multi-object 3D spectrograph with multi-conjugate adaptive optics in large fields. A partial, but still competitive correction shall be prefered, over a much wider field of view. This can be done by estimating the turbulent volume from sets of natural guide stars, by optimizing the correction to several and discrete small areas of few arcsec2 selected in a large field (Nasmyth field of 25 arcmin) and by correcting up to the 6th, and eventually, up to the 60th Zernike modes. Simulations on real extragalactic fields, show that for most sources (>80%), the recovered resolution could reach 0".15-0".25 in the J and H bands. Detection of point-like objects is improved by factors from 3 to >10, when compared with an instrument without adaptive correction. The proposed instrument concept, FALCON, is equiped with deployable mini-integral field units (IFUs), achieving spectral resolutions between R=5000 and 20000. Its multiplex capability, combined with high spatial and spectral resolution characteristics, is a natural ground based complement to the next generation of space telescopes.Comment: ESO Workshop Proceedings: Scientific Drivers for ESO Future VLT/VLTI Instrumentation, 10 pages and 5 figure

UGC 7388: a galaxy with two tidal loops

We present the results of spectroscopic and morphological studies of the galaxy UGC7388 with the 8.1-m Gemini North telescope. Judging by its observed characteristics, UGC7388 is a giant late-type spiral galaxy seen almost edge-on. The main body of the galaxy is surrounded by two faint (\mu(B) ~ 24 and \mu(B) ~ 25.5) extended (~20-30 kpc) loop-like structures. A large-scale rotation of the brighter loop about the main galaxy has been detected. We discuss the assumption that the tidal disruption of a relatively massive companion is observed in the case of UGC7388. A detailed study and modeling of the observed structure of this unique galaxy can give important information about the influence of the absorption of massive companions on the galactic disks and about the structure of the dark halo around UGC7388.Comment: 8 pages, 5 figure