A Quantile Monte Carlo approach to measuring extreme credit risk

We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural credit model. Two research questions are addressed in this study. The first question is whether there is a significant difference in distance to default (DD) between the 50% and 95% quantiles as measured by the QMC model. A substantial difference in DD between the two quantiles was found. The second research question is whether relative industry risk changes between the pre-GFC and GFC periods at the extreme quantile. Changes were found with the worst deterioration experienced by Energy, Utilities, Consumer Discretionary and Financials; and the strongest improvement shown by Telecommunication, IT and Consumer goods. Overall, we find a significant increase in credit risk for all sectors using this model as compared to the traditional Merton approach. These findings could be important to banks and regulators in measuring and providing for credit risk in extreme circumstances.Asset Selection, Factor Model, DEA, Quantile Regression

Direct contributions of dry forests to nutrition: a review

Globally, micronutrient deficiencies are more prevalent than calorie and protein deficiencies. In order to address global micronutrient deficiencies, increasing attention is being paid to the nutritional quality of people’s diets. While conventional agriculture is key for ensuring adequate calories, dietary quality depends on the consumption of a diverse range of micronutrient rich foods. Many wild foods are rich in micronutrients, particularly fruits, vegetables, and animal source food. As a result there has been increasing interest in the value of wild foods to meeting nutritional requirements. We review literature on the consumption of wild foods in dry forest areas to assess the current state of knowledge as to how dry forests may contribute to nutrition. We focus on papers that quantify consumption of wild forest foods. Although there is a great deal of literature that lends weight to the notion that dry forests are important for food security and nutrition, we find surprisingly little evidence of direct contributions to diets. Of 2514 articles identified by our search, only four quantify the consumption of wild foods from dry forests, and only one of these puts this consumption in the context of the entire diet. There is a need for research on the nutritional importance of dry forest foods which combines methodologies from nutrition science with an understanding and appreciation of the ecological, social, cultural and economic context

An Evaluation of Ballute Entry Systems for Lunar Return Missions

AIAA Atmospheric Flight Mechanics Conference August 2006, Keystone, CO.This study investigates the advantages and feasibility of using ballutes for Earth entry at lunar return velocities. Using analysis methods suitable for conceptual design and assuming a CEV type entry vehicle, multiple entry strategies were investigated. Entries that jettison the ballute after achieving low Earth orbit conditions were shown to reduce heating rates to within reusable thermal protection system limits. Deceleration was mitigated to approximately four g's when a moderate amount of lift was applied subsequent to ballute jettison. Primary ballute size drivers are the thermal limitations and areal densities of the ballute material. Performance requirements for both of those metrics were generated over a range of total ballute system masses. Lastly, preliminary investigation of a lower mass cargo variant of the CEV allowed for additional reduction of ballute system mass. However, ballute system mass as a percentage of the total entry mass was shown to be relatively independent of the entry mass

The Effect of Chemical Information on the Spatial Distribution of Fruit Flies: I Model Results

Animal aggregation is a general phenomenon in ecological systems. Aggregations are generally considered as an evolutionary advantageous state in which members derive the benefits of protection and mate choice, balanced by the costs of limiting resources and competition. In insects, chemical information conveyance plays an important role in finding conspecifics and forming aggregations. In this study, we describe a spatio-temporal simulation model designed to explore and quantify the effects of these infochemicals, i.e., food odors and an aggregation pheromone, on the spatial distribution of a fruit fly (Drosophila melanogaster) population, where the lower and upper limit of local population size are controlled by an Allee effect and competition. We found that during the spatial expansion and strong growth of the population, the use of infochemicals had a positive effect on population size. The positive effects of reduced mortality at low population numbers outweighed the negative effects of increased mortality due to competition. At low resource densities, attraction toward infochemicals also had a positive effect on population size during recolonization of an area after a local population crash, by decreasing the mortality due to the Allee effect. However, when the whole area was colonized and the population was large, the negative effects of competition on population size were larger than the positive effects of the reduction in mortality due to the Allee effect. The use of infochemicals thus has mainly positive effects on population size and population persistence when the population is small and during the colonization of an area

Single Spin Asymmetry ANA_N in Polarized Proton-Proton Elastic Scattering at s=200\sqrt{s}=200 GeV

We report a high precision measurement of the transverse single spin asymmetry $A_N$ at the center of mass energy $\sqrt{s}=200$ GeV in elastic proton-proton scattering by the STAR experiment at RHIC. The $A_N$ was measured in the four-momentum transfer squared $t$ range $0.003 \leqslant |t| \leqslant 0.035$ \GeVcSq, the region of a significant interference between the electromagnetic and hadronic scattering amplitudes. The measured values of $A_N$ and its $t$-dependence are consistent with a vanishing hadronic spin-flip amplitude, thus providing strong constraints on the ratio of the single spin-flip to the non-flip amplitudes. Since the hadronic amplitude is dominated by the Pomeron amplitude at this $\sqrt{s}$, we conclude that this measurement addresses the question about the presence of a hadronic spin flip due to the Pomeron exchange in polarized proton-proton elastic scattering.Comment: 12 pages, 6 figure

Longitudinal double-spin asymmetry and cross section for inclusive neutral pion production at midrapidity in polarized proton collisions at sqrt(s) = 200 GeV

We report a measurement of the longitudinal double-spin asymmetry A_LL and the differential cross section for inclusive Pi0 production at midrapidity in polarized proton collisions at sqrt(s) = 200 GeV. The cross section was measured over a transverse momentum range of 1 < p_T < 17 GeV/c and found to be in good agreement with a next-to-leading order perturbative QCD calculation. The longitudinal double-spin asymmetry was measured in the range of 3.7 < p_T < 11 GeV/c and excludes a maximal positive gluon polarization in the proton. The mean transverse momentum fraction of Pi0's in their parent jets was found to be around 0.7 for electromagnetically triggered events.Comment: 6 pages, 3 figures, submitted to Phys. Rev. D (RC

High pTp_{T} non-photonic electron production in pp+pp collisions at s\sqrt{s} = 200 GeV

We present the measurement of non-photonic electron production at high transverse momentum ($p_T >$ 2.5 GeV/$c$) in $p$ + $p$ collisions at $\sqrt{s}$ = 200 GeV using data recorded during 2005 and 2008 by the STAR experiment at the Relativistic Heavy Ion Collider (RHIC). The measured cross-sections from the two runs are consistent with each other despite a large difference in photonic background levels due to different detector configurations. We compare the measured non-photonic electron cross-sections with previously published RHIC data and pQCD calculations. Using the relative contributions of B and D mesons to non-photonic electrons, we determine the integrated cross sections of electrons ($\frac{e^++e^-}{2}$) at 3 GeV/$c < p_T <~$10 GeV/$c$ from bottom and charm meson decays to be ${d\sigma_{(B\to e)+(B\to D \to e)} \over dy_e}|_{y_e=0}$ = 4.0$\pm0.5$({\rm stat.})$\pm1.1$({\rm syst.}) nb and ${d\sigma_{D\to e} \over dy_e}|_{y_e=0}$ = 6.2$\pm0.7$({\rm stat.})$\pm1.5$({\rm syst.}) nb, respectively.Comment: 17 pages, 17 figure

Evolution of the differential transverse momentum correlation function with centrality in Au+Au collisions at sNN=200\sqrt{s_{NN}} = 200 GeV

We present first measurements of the evolution of the differential transverse momentum correlation function, {\it C}, with collision centrality in Au+Au interactions at $\sqrt{s_{NN}} = 200$ GeV. {\it C} exhibits a strong dependence on collision centrality that is qualitatively similar to that of number correlations previously reported. We use the observed longitudinal broadening of the near-side peak of {\it C} with increasing centrality to estimate the ratio of the shear viscosity to entropy density, $\eta/s$, of the matter formed in central Au+Au interactions. We obtain an upper limit estimate of $\eta/s$ that suggests that the produced medium has a small viscosity per unit entropy.Comment: 7 pages, 4 figures, STAR paper published in Phys. Lett.

Longitudinal scaling property of the charge balance function in Au + Au collisions at 200 GeV

We present measurements of the charge balance function, from the charged particles, for diverse pseudorapidity and transverse momentum ranges in Au + Au collisions at 200 GeV using the STAR detector at RHIC. We observe that the balance function is boost-invariant within the pseudorapidity coverage [-1.3, 1.3]. The balance function properly scaled by the width of the observed pseudorapidity window does not depend on the position or size of the pseudorapidity window. This scaling property also holds for particles in different transverse momentum ranges. In addition, we find that the width of the balance function decreases monotonically with increasing transverse momentum for all centrality classes.Comment: 6 pages, 3 figure