Concentration risk and the optimal number of central counterparties for a single asset

We model the central counterparty (CCP) clearing of a single asset traded over-the-counter by two groups of banks in two currencies. We compare a variety of different clearing set-ups involving one or two CCPs according to their ability to withstand a combined market and banking crisis. Using stress testing, the model shows that the question of the optimal clearing set-up for a specifi c asset is complex and depends on many parameters such as the level of funding available to the CCP(s), the degree of integration between the different groups of participants and the particular risk profiles of these different groups. On the whole, however, a single CCP solution appears less resilient than a two-CCP arrangement when the magnitude of the crisis is large and only more resilient when the magnitude of the crisis is small in relation to the clearing fund of the CCP(s). Another interesting outcome is that the two-CCP set-ups perform better than the single CCP set-up for low levels of participation.

Wind Forced Variability in Eddy Formation, Eddy Shedding, and the Separation of the East Australian Current

The East Australian Current (EAC), like many other subtropical western boundary currents, is believed to be penetrating further poleward in recent decades. Previous observational and model studies have used steady state dynamics to relate changes in the westerly winds to changes in the separation behavior of the EAC. As yet, little work has been undertaken on the impact of forcing variability on the EAC and Tasman Sea circulation. Here using an eddy‐permitting regional ocean model, we present a suite of simulations forced by the same time‐mean fields, but with different atmospheric and remote ocean variability. These eddy‐permitting results demonstrate the nonlinear response of the EAC to variable, nonstationary inhomogeneous forcing. These simulations show an EAC with high intrinsic variability and stochastic eddy shedding. We show that wind stress variability on time scales shorter than 56 days leads to increases in eddy shedding rates and southward eddy propagation, producing an increased transport and southward reach of the mean EAC extension. We adopt an energetics framework that shows the EAC extension changes to be coincident with an increase in offshore, upstream eddy variance (via increased barotropic instability) and increase in subsurface mean kinetic energy along the length of the EAC. The response of EAC separation to regional variable wind stress has important implications for both past and future climate change studies

A combined FEG-SEM and TEM study of silicon nanodot assembly

Nanodots forming dense assembly on a substrate are difficult to characterize in terms of size, density, morphology and cristallinity. The present study shows how valuable information can be obtained by a combination of electron microscopy techniques. A silicon nanodots deposit has been studied by Scanning Electron Microscopy (SEM) and Transmission Electron Microscopy (TEM) to estimate essentially the dot size and density, quantities emphasized because of their high interest for application. High resolution SEM indicates a density of 1.6 × 1012 dots/cm2 for a 5 nm to 10 nm dot size. TEM imaging using a phase retrieval treatment of a focus series gives a higher dot density (2 × 1012 dots/cm2) for a 5 nm dot size. High Resolution Transmission Electron Microscopy (HRTEM) indicates that the dots are crystalline which is confirmed by electron diffraction. According to HRTEM and electron diffraction, the dot size is about 3 nm which is significantly smaller than the SEM and TEM results. These differences are not contradictory but attributed to the fact that each technique is probing a different phenomenon. A core-shell structure for the dot is proposed which reconcile all the results. All along the study, Fourier transforms have been widely used under many aspects

A New Channel for the Detection of Planetary Systems Through Microlensing: II. Repeating Events

In the companion paper we began the task of systematically studying the detection of planets in wide orbits ($a > 1.5 R_E$) via microlensing surveys. In this paper we continue, focusing on repeating events. We find that, if all planetary systems are similar to our own Solar System, reasonable extensions of the present observing strategies would allow us to detect 3-6 repeating events per year along the direction to the Bulge. Indeed, if planetary systems with multiple planets are common, then future monitoring programs which lead to the discovery of thousands of stellar-lens events will likely discover events in which several different planets within a single system serve as lenses, with light curves exhibiting multiple repetitions. In this paper we discuss observing strategies to maximize the discovery of all wide-orbit planet-lens events. We also compare the likely detection rates of planets in wide orbits to those of planets located in the zone for resonant lensing. We find that, depending on the values of the planet masses and stellar radii of the lensed sources (which determine whether or not finite source size is important), and also on the sensitivity of the photometry used by observers, the detection of planets in wide orbits may be the primary route to the discovery of planets via microlensing. We also discuss how the combination of resonant and wide-orbit events can help us to learn about the distribution of planetary system properties (S 6.1). In addition, by determining the fraction of short-duration events due to planets, we indirectly derive information about the fraction of all short-duration events that may be due to low-mass MACHOs (S 6.2).Comment: 51 pages, 7 figures. To be published in the Astrophysical Journal, 20 February 1999. This completes the introduction to the discovery of planets in wide orbits begun in astro-ph/9808075, also to appear in ApJ on 20 February 199

Asymfast, a method for convolving maps with asymmetric main beams

We describe a fast and accurate method to perform the convolution of a sky map with a general asymmetric main beam along any given scanning strategy. The method is based on the decomposition of the beam as a sum of circular functions, here Gaussians. It can be easily implemented and is much faster than pixel-by-pixel convolution. In addition, Asymfast can be used to estimate the effective circularized beam transfer functions of CMB instruments with non-symmetric main beam. This is shown using realistic simulations and by comparison to analytical approximations which are available for Gaussian elliptical beams. Finally, the application of this technique to Archeops data is also described. Although developped within the framework of Cosmic Microwave Background observations, our method can be applied to other areas of astrophysics.Comment: 9 pages, 4 figures, Phys. Rev. D, in pres

Constraints on the Cosmic Infra-Red Background based on BeppoSAX and CAT spectra of Mkn 501

The TeV and X-ray data obtained by the imaging Cherenkov telescope CAT and X-ray satellite BeppoSAX during the remarkable flare of Mkn 501 in April 16, 1997 are used to constrain the flux of the Cosmic Infrared Background (CIB) using different CIB models. We show that a non-negligible absorption of gamma-rays due to the CIB could take place already in the low-energy (sub-TeV) domain of the spectrum of Mkn 501. This implies that the data of the low-energy threshold CAT telescope contain very important information about the CIB at short wavelengths, 0.4 mum <= lambda <= 3. mum. The analysis of almost simultaneous spectroscopic measurements of Mkn 501 in a high state by CAT and BeppoSAX in the framework of the standard homogeneous Synchrotron-Self-Compton (SSC) framework model leads to the conclusion that the density of the near-infrared background with typical ``starlight spectrum'' around 1 mum should be between 5 and 35 nW m^-2 sr^-1 (99 % CL), with most likely value around 20 nW m^-2 sr^-1. Also we argue that the CAT gamma-ray data alone allow rather robust upper limits on the CIB, lambda F_lambda <= 60 nW m^-2 sr^-1 at 1 mum, taking into account that for any reasonable scenario of gamma-ray production the differential intrinsic spectrum of gamma-ray hardly could be flatter than dN/dE == E^-1. This estimate agrees, within statistical and systematic uncertainties, with recent reports about tentative detections of the CIB at 2.2 and 3.5 mum by the Diffuse Infrared Background Experiment (DIRBE), as well as with the measurements of the background radiation at optical wavelengths from absolute photometry. We also discuss the impact of the intergalactic absorption effect in derivation of the SSC parameters for the jet in Mkn 501