From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices

Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds. Inspired by the existence of scaling laws in financial markets by Dacorogna et al. (2001) and Di Matteo et al. (2005) deviating from the Gaussian behavior, we develop a model that quantitatively links those default probabilities to credit spreads (market prices). The main input quantities to this study are merely industry yield data of different times to maturity and expected default frequencies (EDFs) of Moody’s KMV. The empirical results of this paper clearly indicate that the model can be used to calculate approximate credit spreads (market prices) from EDFs, independent of the time to maturity and the industry sector under consideration. Moreover, the model is effective in an out-of-sample setting, it produces consistent results on the European bond market where data are scarce and can be adequately used to approximate credit spreads on the corporate level.

A robotic crawler exploiting directional frictional interactions: Experiments, numerics and derivation of a reduced model

We present experimental and numerical results for a model crawler which is able to extract net positional changes fromreciprocal shape changes, i.e. 'breathinglike' deformations, thanks to directional, frictional interactions with a textured solid substrate, mediated by flexible inclined feet. We also present a simple reduced model that captures the essential features of the kinematics and energetics of the gait, and compare its predictions with the results from experiments and from numerical simulations

Alterations in Metabolic Profile Occur in Normal-Weight and Obese Men during the Ramadan Fast Despite No Changes in Anthropometry

We examined the variations in eating behavior, appetite ratings, satiety efficiency, energy expenditure, anthropometric and metabolic profile markers prior to, during as well as 1 and 4 months after Ramadan in normal-weight and obese men. Anthropometric, energy expenditure (indirect calorimetry and accelerometry), metabolic (fasting blood sample), appetite (visual analogue scales), and eating behavior (Three-Factor Eating Questionnaire) measurements were performed in 10 normal-weight (age: 25.2 ± 4.7 years; BMI: 24.4 ± 1.9 kg/m2) and 10 obese (age: 27.0 ± 4.5 years; BMI: 34.8 ± 3.7 kg/m2) men. The satiety quotient (SQ) was calculated 180 minutes after breakfast consumption. All anthropometric variables, as well as resting and total energy expenditure, were greater in obese compared to normal-weight participants (P = 0.02–0.0001). Similarly, obese participants had greater triglycerides, insulin, and homeostatic model assessment-insulin resistance concentrations (P = 0.02–0.002). Greater apolipoprotein B, glucose, total cholesterol, and low-density lipoprotein concentrations were noted during Ramadan (P = 0.04–0.0001). Dietary restraint scores were also greater during Ramadan (P=0.0001). No differences in anthropometry, other metabolic profile markers, energy expenditure, appetite ratings, and SQ were noted across sessions. Lastly, changes in anthropometric measurements correlated with delta metabolic profile markers, as well as changes in disinhibition eating behavior trait and dietary restraint scores. The Ramadan fast led to increases in certain metabolic profile markers despite no changes in appetite and anthropometry

The effect of type I migration on the formation of terrestrial planets in hot-Jupiter systems

Context: Our previous models of a giant planet migrating through an inner protoplanet/planetesimal disk find that the giant shepherds a portion of the material it encounters into interior orbits, whilst scattering the rest into external orbits. Scattering tends to dominate, leaving behind abundant material that can accrete into terrestrial planets. Aims: We add to the possible realism of our model by simulating type I migration forces which cause an inward drift, and strong eccentricity and inclination damping of protoplanetary bodies. This extra dissipation might be expected to enhance shepherding at the expense of scattering, possibly modifying our previous conclusions. Methods: We employ an N-body code that is linked to a viscous gas disk algorithm capable of simulating: gas accretion onto the central star; gap formation in the vicinity of the giant planet; type II migration of the giant planet; type I migration of protoplanets; and the effect of gas drag on planetesimals. We use the code to re-run three scenarios from a previous work where type I migration was not included. Results: The additional dissipation introduced by type I migration enhances the inward shepherding of material but does not severely reduce scattering. We find that > 50% of the solids disk material still survives the migration in scattered exterior orbits: most of it well placed to complete terrestrial planet formation at < 3 AU. The shepherded portion of the disk accretes into hot-Earths, which survive in interior orbits for the duration of our simulations. Conclusions: Water-rich terrestrial planets can form in the habitable zones of hot-Jupiter systems and hot-Earths and hot-Neptunes may also be present. These systems should be targets of future planet search missions.Comment: Accepted by A&A. 15 pages, 14 figures. Higher resolution pdf available at http://www.users.globalnet.co.uk/~mfogg/7950fogg.pd

UBC-Nepal Expedition: An experimental overview of the 2016 University of British Columbia Scientific Expedition to Nepal Himalaya

The University of British Columbia Nepal Expedition took place over several months in the fall of 2016 and was comprised of an international team of 37 researchers. This paper describes the objectives, study characteristics, organization and management of this expedition, and presents novel blood gas data during acclimatization in both lowlanders and Sherpa. An overview and framework for the forthcoming publications is provided. The expedition conducted 17 major studies with two principal goals—to identify physiological differences in: 1) acclimatization; and 2) responses to sustained high-altitude exposure between lowland natives and people of Tibetan descent. We performed observational cohort studies of human responses to progressive hypobaric hypoxia (during ascent), and to sustained exposure to 5050 m over 3 weeks comparing lowlander adults (n = 30) with Sherpa adults (n = 24). Sherpa were tested both with (n = 12) and without (n = 12) descent to Kathmandu. Data collected from lowlander children (n = 30) in Canada were compared with those collected from Sherpa children (n = 57; 3400–3900m). Studies were conducted in Canada (344m) and the following locations in Nepal: Kathmandu (1400m), Namche Bazaar (3440m), Kunde Hospital (3480m), Pheriche (4371m) and the Ev-K2-CNR Research Pyramid Laboratory (5050m). The core studies focused on the mechanisms of cerebral blood flow regulation, the role of iron in cardiopulmonary regulation, pulmonary pressures, intra-ocular pressures, cardiac function, neuromuscular fatigue and function, blood volume regulation, autonomic control, and micro and macro vascular function. A total of 335 study sessions were conducted over three weeks at 5050m. In addition to an overview of this expedition and arterial blood gas data from Sherpa, suggestions for scientists aiming to perform field-based altitude research are also presented. Together, these findings will contribute to our understanding of human acclimatization and adaptation to the stress of residence at high-altitude

The Chandra ACIS Survey of M33 (ChASeM33): The final source catalog

This study presents the final source catalog of the Chandra ACIS Survey of M33 (ChASeM33). With a total exposure time of 1.4 Ms, ChASeM33 covers ~70% of the D25 isophote (R\approx4kpc) of M33 and provides the deepest, most complete, and detailed look at a spiral galaxy in X-rays. The source catalog includes 662 sources, reaches a limiting unabsorbed luminosity of ~2.4x10^(34) erg/s in the 0.35-8.0keV energy band, and contains source positions, source net counts, fluxes and significances in several energy bands, and information on source variability. The analysis challenges posed by ChASeM33 and the techniques adopted to address these challenges are discussed. To constrain the nature of the detected X-ray source, hardness ratios were constructed and spectra were fit for 254 sources, followup MMT spectra of 116 sources were acquired, and cross-correlations with previous X-ray catalogs and other multi-wavelength data were generated. Based on this effort, 183 of the 662 ChASeM33 sources could be identified. Finally, the luminosity function for the detected point sources as well as the one for the X-ray binaries in M33 is presented. The luminosity functions in the soft band (0.5-2.0 keV) and the hard band (2.0-8.0 keV) have a limiting luminosity at the 90% completeness limit of 4.0x10^(34) erg/s and 1.6x10^(35) erg/s (for D=817kpc), respectively, which is significantly lower than what was reported by previous X-ray binary population studies in galaxies more distant than M33. The resulting distribution is consistent with a dominant population of high mass X-ray binaries as would be expected for M33.Comment: 186 pages, 11 figures, 10 tables. Accepted for publication in the ApJS. For a high resolution version of the paper, see http://hea-www.harvard.edu/vlp_m33_public

Measurement of Exclusive rho+rho- Production in Mid-Virtuality Two-Photon Interactions and Study of the gamma gamma* -> rho rho Process at LEP

Exclusive rho+rho- production in two-photon collisions between a quasi-real photon, gamma, and a mid-virtuality photon, gamma*, is studied with data collected at LEP at centre-of-mass energies root(s)=183-209GeV with a total integrated luminosity of 684.8pb^-1. The cross section of the gamma gamma* -> rho+ rho- process is determined as a function of the photon virtuality, Q^2, and the two-photon centre-of-mass energy, W_gg, in the kinematic region: 0.2GeV^2 < Q^2 <0.85GeV^2 and 1.1GeV < W_gg < 3GeV. These results, together with previous L3 measurements of rho0 rho0 and rho+ rho- production, allow a study of the gamma gamma* -> rho rho process over the Q^2-region 0.2GeV^2 < Q^2 < 30 GeV^2

Bose-Einstein Correlations of Neutral and Charged Pions in Hadronic Z Decays

Bose-Einstein correlations of both neutral and like-sign charged pion pairs are measured in a sample of 2 million hadronic Z decays collected with the L3 detector at LEP. The analysis is performed in the four-momentum difference range 300 MeV < Q < 2 GeV. The radius of the neutral pion source is found to be smaller than that of charged pions. This result is in qualitative agreement with the string fragmentation model