The Impact of Public Guarantees on Bank Risk Taking: Evidence from a Natural Experiment

In 2001, government guarantees for savings banks in Germany were removed following a law suit. We use this natural experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank/borrower information. The results suggest that banks whose government guarantee was removed reduced credit risk by cutting off the riskiest borrowers from credit. At the same time, the banks also increased interest rates on their remaining borrowers. The effects are economically large: the Z-Score of average borrowers increased by 7% and the average loan size declined by 13%. Remaining borrowers paid 57 basis points higher interest rates, despite their higher quality. Using a difference-in-differences approach we show that the effect is larger for banks that ex ante benefitted more from the guarantee. We show that both the credit quality of new customers improved (screening) and that the loans of existing riskier borrowers were less likely to be renewed (monitoring), after the removal of public guarantees. Public guarantees seem to be associated with substantial moral hazard effects.banking;public guarantees;credit risk;moral hazard

Who Invests in Home Equity to Exempt Wealth from Bankruptcy?

Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data from the Survey of Income and Program Participation for the period 1996-2006, we find that especially households with low net worth maintain a larger share of their wealth as home equity if a larger homestead exemption applies. This home equity bias is also more pronounced if the household head is in poor health, increasing the chance of bankruptcy on account of unpaid medical bills. The bias is further stronger for households with mortgage finance, shorter house tenures, and younger household heads, which taken together reflect households that face more financial uncertainty.Homestead exemptions;Personal bankruptcy;Portfolio allocation;Home ownership

Quantum Monte Carlo Study of Strongly Correlated Electrons: Cellular Dynamical Mean-Field Theory

We study the Hubbard model using the Cellular Dynamical Mean-Field Theory (CDMFT) with quantum Monte Carlo (QMC) simulations. We present the algorithmic details of CDMFT with the Hirsch-Fye QMC method for the solution of the self-consistently embedded quantum cluster problem. We use the one- and two-dimensional half-filled Hubbard model to gauge the performance of CDMFT+QMC particularly for small clusters by comparing with the exact results and also with other quantum cluster methods. We calculate single-particle Green's functions and self-energies on small clusters to study their size dependence in one- and two-dimensions.Comment: 14 pages, 18 figure

Learning from the Success of MPI

The Message Passing Interface (MPI) has been extremely successful as a portable way to program high-performance parallel computers. This success has occurred in spite of the view of many that message passing is difficult and that other approaches, including automatic parallelization and directive-based parallelism, are easier to use. This paper argues that MPI has succeeded because it addresses all of the important issues in providing a parallel programming model.Comment: 12 pages, 1 figur

Session-Based Programming for Parallel Algorithms: Expressiveness and Performance

This paper investigates session programming and typing of benchmark examples to compare productivity, safety and performance with other communications programming languages. Parallel algorithms are used to examine the above aspects due to their extensive use of message passing for interaction, and their increasing prominence in algorithmic research with the rising availability of hardware resources such as multicore machines and clusters. We contribute new benchmark results for SJ, an extension of Java for type-safe, binary session programming, against MPJ Express, a Java messaging system based on the MPI standard. In conclusion, we observe that (1) despite rich libraries and functionality, MPI remains a low-level API, and can suffer from commonly perceived disadvantages of explicit message passing such as deadlocks and unexpected message types, and (2) the benefits of high-level session abstraction, which has significant impact on program structure to improve readability and reliability, and session type-safety can greatly facilitate the task of communications programming whilst retaining competitive performance

Risks associated with endotoxins in feed additives produced by fermentation

Acknowledgements We thank Jordi Tarrés Call, who recorded the discussions and offered advice about procedures, and Nicole Reisinger and Gerd Schatzmayr, who provided valuable information about endotoxins in animal feeds. The Rowett Institute of Nutrition and Health is funded by the Rural and Environment Science and Analytical Services Division (RESAS) of the Scottish Government.Peer reviewedPublisher PD

Finding apparent horizons and other two-surfaces of constant expansion

Apparent horizons are structures of spacelike hypersurfaces that can be determined locally in time. Closed surfaces of constant expansion (CE surfaces) are a generalisation of apparent horizons. I present an efficient method for locating CE surfaces. This method uses an explicit representation of the surface, allowing for arbitrary resolutions and, in principle, shapes. The CE surface equation is then solved as a nonlinear elliptic equation. It is reasonable to assume that CE surfaces foliate a spacelike hypersurface outside of some interior region, thus defining an invariant (but still slicing-dependent) radial coordinate. This can be used to determine gauge modes and to compare time evolutions with different gauge conditions. CE surfaces also provide an efficient way to find new apparent horizons as they appear e.g. in binary black hole simulations.Comment: 21 pages, 8 figures; two references adde

R.A.Fisher, design theory, and the Indian connection

Design Theory, a branch of mathematics, was born out of the experimental statistics research of the population geneticist R. A. Fisher and of Indian mathematical statisticians in the 1930s. The field combines elements of combinatorics, finite projective geometries, Latin squares, and a variety of further mathematical structures, brought together in surprising ways. This essay will present these structures and ideas as well as how the field came together, in itself an interesting story.Comment: 11 pages, 3 figure

Batch solution of small PDEs with the OPS DSL

In this paper we discuss the challenges and optimisations opportunities when solving a large number of small, equally sized discretised PDEs on regular grids. We present an extension of the OPS (Oxford Parallel library for Structured meshes) embedded Domain Specific Language, and show how support can be added for solving multiple systems, and how OPS makes it easy to deploy a variety of transformations and optimisations. The new capabilities in OPS allow to automatically apply data structure transformations, as well as execution schedule transformations to deliver high performance on a variety of hardware platforms. We evaluate our work on an industrially representative finance simulation on Intel CPUs, as well as NVIDIA GPUs