Systemic risk determinants in the European banking industry during financial crises, 2006-2012

The recent financial turmoil has stimulated a rich debate in banking and financial literature on the identification of systemic risk determinants and devices to forecast and prevent crises. This paper explores the contribution of corporate variables to systemic risk using the CoVaR approach (Adrian and Brunnermeier, 2016). Using balanced panel data on 141 European banks from 24 countries, which were listed from 2006Q1 to 2012Q4, we investigated the impact of corporate variables during the three regimes that characterised the European banking sector-the subprime crisis (2007Q3-2008Q3), the European Great Financial Depression (2008Q4-2010Q2), and the sovereign debt crisis (2010Q3-2012Q4). Our results show that size did not play a significant role in spreading systemic risk, while maturity mismatch did. However, the nature and intensity of these two determinants varied across the three regimes

Shot noise in resonant tunneling structures

We propose a quantum mechanical approach to noise in resonant tunneling structures, that can be applied in the whole range of transport regimes, from completely coherent to completely incoherent. In both limiting cases, well known results which have appeared in the literature are recovered. Shot noise reduction due to both Pauli exclusion and Coulomb repulsion, and their combined effect, are studied as a function of the rate of incoherent processes in the well (which are taken into account by means of a phenomenological relaxation time), and of temperature. Our approach allows the study of noise in a variety of operating conditions (i.e., equilibrium, sub-peak voltages, second resonance voltages), and as a function of temperature, explaining experimental results and predicting interesting new results.Comment: RevTeX file, 26 pages, 3 Postscript figures, uses epsf.sty. submitted to Phys. Rev.

Quantum analysis of shot noise suppression in a series of tunnel barriers

We report the results of an analysis, based on a straightforward quantum-mechanical model, of shot noise suppression in a structure containing cascaded tunneling barriers. Our results exhibit a behavior that is in sharp contrast with existing semiclassical models for this particular type of structure, which predict a limit of 1/3 for the Fano factor as the number of barriers is increased. The origin of this discrepancy is investigated and attributed to the presence of localization on the length scale of the mean free path, as a consequence of the strictly 1-dimensional nature of disorder, which does not create mode mixing, while no localization appears in common semiclassical models. We expect localization to be indeed present in practical situations with prevalent 1-D disorder, and the existing experimental evidence appears to be consistent with such a prediction.Comment: This paper has been replaced with a new version (4 pages, 4 figures

Analysis of shot noise suppression in mesoscopic cavities in a magnetic field

We present a numerical investigation of shot noise suppression in mesoscopic cavities and an intuitive semiclassical explanation of the behavior observed in the presence of an orthogonal magnetic field. In particular, we conclude that the decrease of shot noise for increasing magnetic field is the result of the interplay between the diameter of classical cyclotron orbits and the width of the apertures defining the cavity. Good agreement with published experimental results is obtained, without the need of introducing fitting parameters.Comment: 5 pages, 3 figures, contents changed (final version

Enhanced shot noise in resonant tunneling: theory and experiment

We show that shot noise in a resonant tunneling diode biased in the negative differential resistance regions of the I-V characteristic is enhanced with respect to ``full'' shot noise. We provide experimental results showing a Fano factor up to 6.6, and show that it is a dramatic effect caused by electron-electron interaction through Coulomb force, enhanced by the particular shape of the density of states in the well. We also present numerical results from the proposed theory, which are in agreement with the experiment, demonstrating that the model accounts for the relevant physics involved in the phenomenon.Comment: 4 pages, 4 figure

Ergodic sampling of the topological charge using the density of states

In lattice calculations, the approach to the continuum limit is hindered by the severe freezing of the topological charge, which prevents ergodic sampling in configuration space. In order to significantly reduce the autocorrelation time of the topological charge, we develop a density of states approach with a smooth constraint and use it to study SU(3) pure Yang Mills gauge theory near the continuum limit. Our algorithm relies on simulated tempering across a range of couplings, which guarantees the decorrelation of the topological charge and ergodic sampling of topological sectors. Particular emphasis is placed on testing the accuracy, efficiency and scaling properties of the method. In their most conservative interpretation, our results provide firm evidence of a sizeable reduction of the exponent z related to the growth of the autocorrelation time as a function of the inverse lattice spacing

Photoassociative spectroscopy at long range in ultracold strontium

We report photoassociative spectroscopy of $^{88}$Sr$_2$ in a magneto-optical trap operating on the ${^1S_0}\to{^3P_1}$ intercombination line at 689 nm. Photoassociative transitions are driven with a laser red-detuned by 600-2400 MHz from the ${^1S_0}\to{^1P_1}$ atomic resonance at 461 nm. Photoassociation takes place at extremely large internuclear separation, and the photoassociative spectrum is strongly affected by relativistic retardation. A fit of the transition frequencies determines the ${^1P_1}$ atomic lifetime ($\tau=5.22 \pm 0.03$ ns) and resolves a discrepancy between experiment and recent theoretical calculations.Comment: 4 pages, 4 figures, submitte

Delocalized-localized transition in a semiconductor two-dimensional honeycomb lattice

We report the magneto-transport properties of a two-dimensional electron gas in a modulation-doped AlGaAs/GaAs heterostructure subjected to a lateral potential with honeycomb geometry. Periodic oscillations of the magneto-resistance and a delocalized-localized transition are shown by applying a gate voltage. We argue that electrons in such artificial-graphene lattices offer a promising approach for the simulation of quantum phases dictated by Coulomb interactions

Plasmons and Coulomb drag in Dirac/Schroedinger hybrid electron systems

We show that the plasmon spectrum of an ordinary two-dimensional electron gas (2DEG) hosted in a GaAs heterostructure is significantly modified when a graphene sheet is placed on the surface of the semiconductor in close proximity to the 2DEG. Long-range Coulomb interactions between massive electrons and massless Dirac fermions lead to a new set of optical and acoustic intra-subband plasmons. Here we compute the dispersion of these coupled modes within the Random Phase Approximation, providing analytical expressions in the long-wavelength limit that shed light on their dependence on the Dirac velocity and Dirac-fermion density. We also evaluate the resistivity in a Coulomb-drag transport setup. These Dirac/Schroedinger hybrid electron systems are experimentally feasible and open new research opportunities for fundamental studies of electron-electron interaction effects in two spatial dimensions.Comment: 7 pages, 4 figure