Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is the market for bank’s exchange-traded option contracts. In this paper, we first extract implied volatility indicators from the prices of the most actively traded option contracts on financial firms’ equity. We then examine empirically their ability to predict financial distress by applying survival analysis techniques to a sample of large US financial firms. We find that market indicators extracted from option prices significantly explain the survival time of troubled financial firms and do a better job in predicting financial distress than other time-varying covariates typically included in bank failure models. Overall, both accounting information and option prices contain useful information of subsequent financial problems and, more importantly, the combination produces good forecasts in a high-stress financial world, full of doubts and uncertainties.Financial distress; Financial system oversight; Market discipline; Options; Implied volatility; Survival analysis.

Baryon anomaly and strong color fields in Pb+Pb collisions at 2.76A TeV at the CERN Large Hadron Collider

With the HIJING/BBbar v2.0 heavy ion event generator, we explore the phenomenological consequences of several high parton density dynamical effects predicted in central Pb+Pb collisions at the Large Hadron Collider (LHC) energies. These include (1) jet quenching due to parton energy loss (dE/dx), (2) strangeness and hyperon enhancement due to strong longitudinal color field (SCF), and (3) enhancement of baryon-to-meson ratios due to baryon-anti-baryon junctions (JJbar) loops and SCF effects. The saturation/minijet cutoff scale p0(s)and effective string tension kappa(s,A) are constrained by our previous analysis of LHC p+p data and recent data on the charged multiplicity for Pb+Pb collisions reported by the ALICE collaboration. We predict the hadron flavor dependence (mesons and baryons) of the nuclear modification factor RAA(pT)$ and emphasize the possibility that the baryon anomaly could persist at the LHC up to pT=10 GeV, well beyond the range observed in central Au+Au collisions at RHIC energies.Comment: 25 pages, 8 figures, revtex4, text modifications, added references, accepted for publication Phys. Rev. C (2011

Features of hadronic and deconfined matter from AGS to LHC energies

Previous extensive studies on the dependence of the average transverse momentum, its slope as a function of the hadron mass and the average transverse expansion on the particle multiplicity per unit rapidity and unit transverse overlap area of the colliding partners are extended to the ratio of the energy density to the entropy density. The behaviour of the ratio between the average transverse momentum and the square root of the particle multiplicity per unit rapidity and unit transverse overlap area $\langle p_T \rangle/\sqrt{\langle dN/dy\rangle/S_{\perp}}$ as a function of collision energy for a given centrality or as a function of centrality for a given collision energy supports the predictions of CGC and percolation based approaches. The dependence of the ratio of the energy density $\langle dE_{T}/dy\rangle/S_{\perp}$ to the entropy density $\langle dN/dy\rangle/S_{\perp}$ at different collision centralities for A-A collisions from AGS, SPS, RHIC and LHC energies is presented. The trend of this ratio towards a plateau at the highest RHIC energies followed by a steep rise at LHC energies is in agreement with theoretical predictions made 40 years ago that indicate this behaviour as a signature of a phase transition. This pattern strongly depends on the collision geometry, converging towards the dependence that characterizes the pp minimum bias (MB) collisions for the most peripheral A-A collisions. Expected similarities between pp and Pb-Pb collisions at LHC energies are confirmed

Strangeness Production in pp,pA,AA Interactions at SPS Energies.HIJING Approach

In this report we have made a systematic study of strangeness production in proton-proton(pp),proton-nucleus(pA) and nucleus- nucleus(AA) collisions at CERN Super Proton Synchroton energies, using$\,\,\, HIJING\,\,\, MONTE \,\,\,CARLO \,\,\,MODEL$ \\ (version $HIJ.01$). Numerical results for mean multiplicities of neutral strange particles ,as well as their ratios to negatives hadrons($$) for p-p,nucleon-nucleon(N-N),\,\,p-S,\,\,p-Ag,\,\,p-Au('min. bias')collisions and p-Au,\,\,S-S,\,\,S-Ag,\,\,S-Au ('central')collisions are compared to experimental data available from CERN experiments and also with recent theoretical estimations given by others models. Neutral strange particle abundances are quite well described for p-p,N-N and p-A interactions ,but are underpredicted by a factor of two in A-A interactions for $\Lambda,\bar{\Lambda}, K^{0}_{S}$ in symmetric collisions(S-S,\,\,Pb-Pb)and for $\Lambda,\bar{\Lambda}\,\,$in asymmetric ones(S-Ag,\,\,S-Au,\,\,S-W). A qualitative prediction for rapidity, transverse kinetic energy and transverse momenta normalized distributions are performed at 200 GeV/Nucleon in p-S,S-S,S-Ag and S-Au collisions in comparison with recent experimental data. HIJING model predictions for coming experiments at CERN for S-Au, S-W and Pb-Pb interactions are given. The theoretical calculations are estimated in a full phase space.Comment: 33 pages(LATEX),18 figures not included,available in hard copy upon request , Dipartamento di Fisica Padova,report DFPD-94-NP-4